This is the toughest match for my Mileena (aside from Mileena mirrors). A great Lao is very sneaky and always seems to surprise me. This match is a nightmare for both players in delay lag, because Lao's dive kick and Mileena's roll come out so fast, that if your block is delayed, you'll get hit even if you DO block it in time. Still, I don't lose this one too often because Mileena has a healthy edge (and I don't play too many sick Lao players, unfortunately).
LAO
He will have his way with a noob Mileena, but an elite one is going to be quite a match. No matter what level Mileena you're up against, blocking both her roll and telekick is the key. Once you do that, you can combo her as you like (I prefer jump punch/dive kick as it's most reliable IMO). Instant hat throws from crouch are a big weapon here because it effectively deals with Mileena's sai spam. CQC is always scary because of the threat of Mileena's roll. But when she tries to get in close to you, whirlwind spin her. A quick straight up dive kick, when in close is also usually unexpected. Avoid jumping or teleporting a lot, as you'll start eating telekicks or air sai.
MILEENA
Her telekick is probably more effective vs Lao than anyone else in MK2. Since he owns the air, he tends to do a lot of jumping and teleporting.
It is a risky play however. If blocked she will eat a significant combo. Sai from the ground is your safest bet, though air sai (especially from afar where Lao can't dive kick you) also works wonders. Roll is as risky as the telekick, but is a major weapon of hers. Lao is hard to connect CQC to up close. Stick to sweeps and golden punches when in close- Mileena almost always wins a sweep war with Lao. Watch for teleports and uppercut him. Lao is nearly impossible to roll/jump punch/sai, but you can still score one of her huge corner roll combos vs him.
Lao has an arsenal capable of dethroning Queen Mileena. But he will have to play a perfect match, and punish all her mistakes. With Mileena's speed, spam, and specials.... this won't be easy.
7-3 in Mileena's favor, which is better than how most fare against her.