To find Malenia, you first need to unlock the portal in Ordina, Liturgical Town, which is located in the northern area of the Consecrated Snowfield. Once you pass through the portal, make your way down the Haligtree, past Elphael, Brace of the Haligtree. By the Haligtree roots, there will be a site of grace. From there, you should see a set of stairs, and that's where your battle with the Blade of Miquella begins. IGN says she is not only the strongest one in all of Elden Ring, but in all the SoulsBorne games.
Because of her difficulty, it's best that you save Malenia as the very last boss you fight in the game. She's got powerful attacks that come in rapid succession, so you're going to need every advantage if you want to stand a chance. Plus, it doesn't help that she's got an ability that gives her a small amount of health back every time she hits you. Even if you block the blow, she still benefits.