Ooooohh this is my thing! Ok, tips... if you manage to either juggle someone and land a sky kick, or land a sky kick while they're jumping, IMMEDIATELY hit them with a sai shot. This makes them fall slower to the ground, meaning Mileena lands faster, so you can then IMMEDIATELY roll, which will pop them up for a combo. I do this all the time - takes practice but it's all about timing.
Mileena's main 3 special moves are all pretty punishable - block the sky kick or the roll and you've got her by the throat. Teleporting ninjas are a huge pain against using her projectile. And we all know the roll is key to setting up most juggles, so when someone is blocking, do her low kick jabby thing. This knocks them out of a block for a few seconds, so follow it with a roll immediately.
Her face gnaw attack works fantastically as an anti-air attack. I favour it over a projectile as it does a wee bit more damage and it's funnier to knock someone out of a jump kick/punch set up by eating their face.
Stabbing someone in the back with her sai will leave it lodged there unless you do a sai shot or any other move involving her sai. (X-Ray, projectile, gut stab, sai lodge). If you do the face gnaw attack she yanks it out and viciously stabs them in the throat (my fave move in the whole game) which deals considerably more damage than the regular face gnaw, and can be enhanced to include the knockdown kick afterwards. She doesn't say "TASTY!" afterwards though, which makes me sad.
Don't use the combo when she lunges forward with a kick, then slices your stomach with her sais. It's a pain to pull off, is slow, and deals little damage. If you don't follow the gut slice up with a special immediately it's pretty punishable when blocked.
And of course - oldest Mileena trick in the book which is what makes her such a cow sometimes - learn to predict when your opponent is going to projectile and TELEPORT KICK THAT SUNNOVABISH.
A lot of people dismiss Mileena as rubbish because after MKII she always has been - but in this game she really is a bit of a beast, it's just that she isn't getting the credit for it because everyone's too busy using Scorpion, Ermac or Noob.
And have you seen her babality on the Flesh Pits costume?! SHE'S SO CUTE.
That any help?