The majority of nationalities do not require a visa to enter Malaysia, check if this is your case.
Otherwise, the application procedure is simple. You have just to download and fill the application form, prepare the required documents and take them to the nearest Malaysian embassy or a third party such as a visa office.
Essentially, you will need to take 2 copies of the visa application, a passport valid for 6 months, 2 passport sized photos, a proof of sponsorship and a confirmed hotel and flight bookings.
Also, you should take the fees in cash ($10 for single entry and $29 for multiple entry)
They will answer you in two days, normally.
Check out Malaysia Visa for more details about the visa applications and documents, the visa on arrival, the Electronic visa and the Electronic Travel Registration and Information system.