Learn how to fuzzy block.
Mileena is a very risky character, knock her down, most of her wakeup options are unsafe, unless she burns meter for EN Teleport.
When she make a mistake, because if you have patience, she will, punish hard.
Careful at zoning, her roll go under ice ball and she can teleport to punish clones.
Not sure if this is fuzzy guarding...but what I do is when I see her attacking me I normally block low briefly and stand right back up in high guard. So most of the time what will happen is if they try to do the low kick thing that most mileenas do it will block that and if they try the U4 move, since it's slower, it will block that too. Also, you really have to be careful when throwing out ice because you will get telekicked in a hurry, basically on reaction so you need to make sure you're not being really careless with that. Careful of her wakeup attacks because you'll get beat up from those.
The thing with mileena is she doesn't have a lot of stuff move wise that make her confusing to fight you just have to make the right reads and block her properly.
What you can try to do against Mileena is attempt to do 22 when you see that U4 coming since her U4 is 27 frames and Subs 22 is only 9 frames. Assuming you're playing online then a more safer technique is to block the first U4 then clone because most Mileenas attempt to do them consequently (it's probably the result of them learning her BnB). If the Mileena player tries her B3 roll bnb, you could also do 22 as well because her B3 is 21 frames. Mileenas normals are very slow so don't be scared to pressure and if you knock her down block low cause you will be in position to block and punish her roll and teleport. Be aware that some Mileenas tend to do B3 Ex roll which you must fuzzy guard by blocking low then high.
If she does the EN teleport kick and cancels into sai after the 2nd hit and you are standing, you either A)Get hit because you were dumb enough to let go of block thinking you could punish it or B) Block the sai. But the sai is safe on block and so you get no punish at all.
By blocking the EN telekick low the sai cancel whiffs over your head and you can punish. Some people like to uppercut, some people like D4,slide. Either is better than stand blocking En telekick and getting nothing.