Miniboss: Hong Meiling
You'll fight Meiling the moment you enter the Scarlet Devil Mansion, but as she's the first boss, she should be pretty easy. Use the opportunity to get a grasp of what your attack options are. She's got a weakness to Light, so use Reimu on offense.
The game's dungeons are fairly straightforward, and Voile is particularly short even for them. Find buttons to move bookshelves, gold keys to open the golden doors, and silver keys to open the occasional unlocked treasure chest. You'll find your first non-unique weapons here, although your unique weapons may still serve you better at this point.
Before completing Voile, you may want to go and recruit Byakuren Hijiri by waiting an hour at the Myouren Shrine in the southeast corner of Gensokyo (Yes, it's an hour of real time; just leave the game running and do other stuff), and Fujiwara no Mokou by using the Konami Code sequence to traverse the Bamboo Forest of the Lost (Up Up Down Down Left Right Left Right). Having a full five-person party plus commander will make the first two chapters much easier, not to mention that these characters bring additional options to the table. They're not necessary to continue onwards, however, so if you want to face a bit more of a challenge, feel free to skip them - they'll join the party as part of the story later if you do.
When you find an area with a healing circle and a switch, you've found the dungeon's end. Pulling the switch will open a door leading to the boss.
Koakuma is guarding a chest near the end of the dungeon. She should be fairly easy; she is resistant to dark and magic damage, but light damage will be effective on her, and if you recruited Byakuren, her and Reimu should be able to defeat Koakuma very quickly.
Boss: Patchouli Knowledge and Sakuya Izayoi
Patchouli's HP: 275
Sakuya's HP: 300
In general, not too dangerous, especially if you've got Mokou and Byakuren, but even if you don't they shouldn't prove too much of a problem. Patchouli is resistant to the four elements and dark, but vulneurable to light, magic and physical element damages, so Aya, Byakuren, and Marisa are likely your most powerful options. Sakuya, meanwhile, only carries any sort of defense against magic and slash elements, and has a weakness to dark, so nearly any attack in your arsenal should work decently.
- Forward to The Genius of Sappheiros: Stage 2