Zulm (ज़ुल्म,ظلم) is an Urdu word, which means oppression, cruelty. From the same root comes zaalim (ज़ालिम,ظالم), which is an adjective for the person who oppresses, so zaalim means cruel, or oppressive.
Both of these words are quite frequently used (and sometimes misused, as happens with all frequently used words) in the Hindi film Industry, and of course in common Hindustani too.
But then there is also zaalima (ज़ालिमा,ظالما), a female version of zaalim, a cruel woman or lady. Now, honestly, zaalima is NOT a word as far as standard Urdu is concerned and you wouldn't find it in a dictionary (I checked mine, just to be sure), because it's an adjective and can be used with a male and female equally well, (e.g. 'tu ek zaalim aadmi hai' (you are a cruel man) and 'tu ek zaalim aurat hai' (you are a cruel woman) would both be perfect sentences, without any need for a zaalima.
But when it comes to using things creatively, coining 'zaalima' makes it easy for a poet or a lyricist to tell you that the cruel person was a woman without using an extra word — a noun, and zaalima itself works as a noun which tells its attribute as well. Similarly zaalim, which is a perfectly good word, but not a noun, is also used as an adjective-noun sometimes by dialog writers and poets/lyricists.
Zaalima is the title of a song written by Amitabh Bhattacharya in the Shahrukh Khan starrer Raees. However it's not the first time this word is used. It was also the title of a Sonu Nigam/Bickram Ghosh composed song in the movie Jal. It was also used as 'jaalama' by Anand Bakshi in the female version of Oopar Khuda for the film Kachche Dhaage.
Btw, that also reminds me that there is a movie called Zulmi (ज़ुल्मी,زلمی) as well, and the word is also used in some songs. Now again, zulmi might mean someone who oppresses, an oppressor, a cruel one, but this is not really a legitimate Urdu (or Hindi) word. However, if you try and use it, people will understand what you mean to say.