>From Malaga, the big attraction is the Alhambra in Granada. It is about a 2 hour drive and you can't visit it on your own. Tickets are limited and must be prebooked and once there you're hooked up with a guide.
It's probably easiest to book it as a day tour from a tour company (I'm sure your hotel can do this for you). It's one of the wonders of the world and definitely a don't miss.
I was in Spain this summer. I'll have a look through my papers and try to get you some websites. However, you can always start with http://www.JohnnyJet.com He lists all travel websites.