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Mima is a Vengeful spirit that haunts the area around the Hakurei Shrine. She is extremely strong and very confident in her combat and magical abilities, even boastful of them. She first appeared on the Jigoku route of Highly Responsive to Prayers, where she was defeated by Reimu Hakurei and presumably sealed into a hokora, but apparently she later escapes to return in the following game, Story of Eastern Wonderland.
In Story of Eastern Wonderland, she is after the power of the Hakurei Yin-Yang Orb, and attacks Reimu, only to be defeated and sealed; however, she escapes the seal shortly after, to Reimu's chagrin. She also claims that she ultimately wishes to take revenge against the entire human race, though her motivations for this are unknown; indeed, it's said later in her profile in Phantasmagoria of Dim.Dream that she doesn't really hate humans.
Mima is referred to both as a ghost and a vengeful spirit a number of times throughout canon, including in her title in Highly Responsive to Prayers and in the title of Story of Eastern Wonderland's stage 4. However, she also is called "akuryou", an Evil Spirit, so that may be her actual species designation, or perhaps is just a more general term that encompasses vengeful spirits.
Despite being repeatedly called a ghost, in Phantasmagoria of Dim.Dream, Mima seemingly denies being dead, with the line "Do I look like a dead spirit? (sweat)". But, it is stated in her Mystic Square profile that she has existed for so long she can no longer remember her origins, and is rather laid-back as a result; thus, she may have forgotten by now just why she is a vengeful spirit, or even if she is really dead. However, in Mystic Square she describes herself as being a ghost and seeks to look more phantom-like (jokingly so, presumably). Unless further information about her is revealed we may never know just what exactly she is or how she came to be that way.