Of course, the only real humans on stage are the band (who do in fact play live backing music). Hatsune Miku herself, along with the other vocaloids, are sort of projected onto this flat surface which sits in the middle of the stage. It's transparent, and the lights are turned way down. It's hard to describe, but in person, it really looks like she's actually there in all 3 dimensions on stage, albeit stylized like an anime girl. The effect is really surreal, and feels straight out of a William Gibson book. The audience is all given glowsticks. Everything combined, the venue becomes this weird cyberpunk future hall covered in neon.
Another cool advantage of this is that Miku can change costumes instantly, which adds a little personal flare to each song.
The second cool feature is that all the songs are community made in a way. Since vocaloid is a software, not a music group, the set list is made of everything from pop groups who licensed her vocals, to online solo artists who made the track in their house after work. It's really something I think you should see at least once in your life. The effect is really intoxicating especially if you enjoy that kind of music.
This is a pretty good example of what it looks like, though not a favorite song of mine: