Differences from MK3
Mileena did not appear in MK3
Move List
Basic Moves
Female ninja basic moves:
The female ninja uppercut is average, nothing to write home about, their standing HK is great for far away jumpers trying to stay out of range for anti air HPs, it doesn't have as much height as some other characters, but the collision detection is a good distance from their body hit box, so it has good priority. Their LP jabs hit lower than most so they can run jab Stryker when he's ducking and blocking, and they good range. HP jabs have average range, sweeps are silent which is a plus, and they have some distance to them, however are slow on recovery compared to the fast sweepers leaving them potentially open. Ducking LK has some decent pointiness and distance, standing LK hits a bit lower than usual. Their roundhouse is very close range, better off going for a standing HK on jump ins, but the RH can often be used in run underneath jump in situations because the placement is perfect for that. Their jump punch has limited range and is close to their body, bad for cross ups on ducking blocking opponents.
Special Moves
Roll
B, B, D, HK
9.5%
The Roll is an interesting and complex move to say the least with lots of uses. It is by definition a containment move as well, similar to that of Reptile's forceball, however Mileena's distance from the opponent and positioning is not always exactly the same making juggle combos for her difficult to guarantee. Mileena can run in sooner depending on what frame she is in when the roll connects. The roll can be used to prevent anti air cross ups if timed correctly. As the player jumps over you, buffer F,F,D instead of B,B,D and do the roll as they start the air attack, you will roll under them, causing the occasional forward flip towards Mileena reaction which is ideal, enabling better juggle combos. It is relatively easy to perform the flip towards roll by timing the contact just on the opposite side of the oppent as they fall, try this during punishment combos with aaHP,HP, B,B, pause, D, HK for the late roll and ideal spacing. The roll can also be used on a delay, so you can buffer B,B, D, wait a good second and then surprise with the roll as if you were the CPU and didn't have to perform any motion, similar to usage of Stryker's baton throw, which can abuse the same delayed button hit concept. There are many players who abuse the roll constantly, and pay for it, please do not be one of these players. It is possible to abuse the roll and be successful, it just takes good judgement on placement. The roll can also be used as a wake up to escape run jabs, smilar to Kabal's spin and Sonya's bike kick, but if it is expected, a simple kara jab will block it and set Mileena up for a punisher combo. The roll has a limit of 1 usage every other hit and is locked at 3 hits, so that means you can combo 2 legitimately.
Teleport/Drop Kick
F, F, LK
14.5%
The Teleport/Drop Kick is a very slow attack and should be used as a total surprise, perhaps no more than once a round, it is easy to scout, predict, and counter, and any time you can use it in a combo, you could do 2 or 3 more hits with something else resulting in higher damage.
Sai Shot
Hold HP 1 second, release
9.5%
The Sai Shot is still spammable as it was in MKII in terms of speed, however it is not as effective. The Prophet says "It looks like she's aiming at airplanes or something with them." What he means is, they are way too high in the air when she releases so they are easy to avoid, and he would be right. You can still try to spam them, use them in combos as well, for zoning, etc.
An underused tactic the female ninjas can abuse is by leaving off the last hit of their kick combos if the opponent blocks the first three, and pausing ever so slightly, then doing a HK as they try to rush in, which happens very often. Even if they don't it hits blocked which does slightly more chip damage than finishing out the combo and doesn't give them as much time to recover and counter, setting up other situations in your favor.
As far as I have tested, Mileena can only relaunch the robot ninjas, and Kung Lao, even Sheeva can always block her relaunches, others may be possible, as I sort it out I'll post it.
A couple of corner tactics you can use with Mileena: You can charge HP for the sai shot while run jabbing with LP, if you see them try to jump out of the corner you can jump back and release HP hitting a sai shot knocking them back into the corner, and you can also try to juggle again before they hit the ground. Also look for chances to use the roll in the corner, don't just throw out a random ball because of the likelihood of it being blocked, but watch for an attempt to uppercut and buffering B,B while jabbing at times.
Finisher Moves
Fatality 1
B, B, B, F, LK (Full Screen)
Mileena opens her mouth, then swallows a jar of tacks. She then starts to spit them out at her victim. This is one of the best in the game!
Fatality 2
D, F, D, F, LP (Next to)
Mileena does her old Suck fatality from MK2, but much more body parts come out. Most are rib cages and a few heads.
Friendship
D, D, B, F, HP (No Block in Winning Round) (Past Sweep)
Mileena takes out a mirror, takes off her mask. Mileena looks at the mirror with her ugly face and the mirror shatters.
Animality
F, D, D, F, HK (Mercy First) (Next to)
Mileena turns into a skunk, and sprays her victim with her smelly liquid, which is just green smoke. Her opponent falls over to his/her death.
Babality
D, D, F, F, HP (No Block in Winning Round) (Past Sweep)
Mercy
Hold RUN, Wait 1 Second, D, D, Release RUN (Round 3) (Past Sweep)
Stage Fatal
D, D, D, LP (Next to)
Strategy
As Mileena
Mileena is considered a low tier character, probably around 20th of the 23 in UMK3, and third in terms of the three female ninjas. She has overall low combo damage, not much in terms of options, almost everything revolves around the roll which activates damage protection miserably. She, like Cyrax, requires a lot of effort to be a force in the game, and there are some expert players here and there who can use her, however she still just doesn't cut it against most top tier characters. Fortunately the female ninjas have strange collision boxes making it harder to juggle them, and maxed out combos are unlikely in most cases, watch for slip ups and counter based on their character design. Some characters cannot get starters on them at all, and both ground attacks after a JP or a straight up JK will whiff, however in the corner a lot of these characters are able to get starters on them, but still some cannot, it depends on how close you are when the jump attack connects.
VS Mileena
Combos
Basic Juggles: 
1. punch starter, HP, HP, HK, HK, D-F LK, aaHP, drop kick 8 hits 37% 
2. punch starter, HP, HP, HK, HK, D-F LK, JK, sai 8 hits 40% 
3. roll, R, aaHP, roll, R, HK, 4 hits 24% 
Advanced Juggles: 
1. aa(HP,HP), roll, RH 4 hits 31% 
2. (from ground up directly infront of opponent or a cross up jump kick), JK, roll, aa(HP,HP), JK, sai shot, 6 hits 39% (leaving out the sai shot might make the combo easier and will result in about 5% less damage and this can be applied to all other combos ending in a sai shot) 
3. (off a flip towards Mileena punisher set up) aa(HP,HP), roll, aa(HP,HP), JK, sai shot 7 hits 41% 
4. aaHP, JK, roll, R, aaHP, HK 5 hits 42% 
5. aaHP, JK, roll, JK, sai, 5 hits 44% 
6. aaHP, JK, roll, R, aaHP,HP, JK, sai shot 7 hits 50% (doable on male ninjas, Kano, Jax, Stryker, Sub-zero, etc) 
7. (near corner) aaHP, RH, roll, R, aaHP,HP, JK, sai shot 7 hits 52%