The exact properties of each neutralino will depend on the details of the mixing (e.g. whether they are more higgsino-like or gaugino-like), but they tend to have masses at the weak scale (100 GeV ~ 1 TeV) and couple to other particles with strengths characteristic of the weak interaction. In this way, except for mass, they are phenomenologically similar to neutrinos, and so are not directly observable in particle detectors at accelerators.
