First thing you need to know about Mileena, is know your combos. I don't just mean the ones you get off roll or U4. Know that she can combo off of almost any hit for 20-30%. (There are threads in place for that kind of thing already.) Get combos off jump in punch, air-to-air jump punch, anti air sai/telekick, ant-air D1 and D4, etc.
Mileena is not specifically a zoning character or a rushdown character, though she can do both rather well. Mileena is mainly a hit-and-run poking based character. Her D4 has great range and a low hitbox. Gives advantage on hit I believe. Easy to start rounds off with for that first hit bonus. You want to use sais at a distance to build meter and zone, and use her teleport and air sais to alter your jump distance in case your opponent is looking to anti-air. Teleport kick on hit gives a free jump in punch mixup with throw,U4,and B3. F3 on hit gives a free U4/B3/throw mixup as well.
During rushdown, Throw is huge for Mileena, as she doesn't have many frame traps in her strings. Alternate with completing a string and stopping to do a throw. If you land her behind throw, you can follow up with roll while they're grounded to stay close and apply mixups. Remember that U4 is advantage on block so don't be afraid to low poke again after it's blocked or dash up and throw.
Her D3 and D4 avoids a lot of rushdown pressure. So when in doubt throw it out there, and 90% of the time you should be able to stuff their attacks/frame traps.
If you can nail her combos off of different types of hits consistantly, and you apply that base strategy, you should be good to go and create your own style. She's straightforward in terms of moves, but can be a very flexible character to play as.
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