In Mortal Kombat 9 for the PS3 and Xbox 360, most characters have at least one alternate costume, and Mileena has two alternate costumes to select from.
The first thing you must do after unlocking an alternate costume is to visit the Nekropolis and click on that characters statue. It should say something about the item you found that unlocks the costume, and the costume will now be selectable on the character select screen.
The button to press on the character selection screen isn’t shown on the screen for some reason. In order to change costumes, you must highlight the character you intend to use and press the Start button, which will bring up the costume selection box.