If you look at the RENFE schedule (the Spanish National Railway), there are many trains that go from Madrid to Málaga.
The trip on the Talgo is a little over four hours. The trains leave from the Atocha station in Madrid. Of course, RENFE does not have a schedule posted yet for February. But it is probabaly not going to change a whole lot, and you will be able to access the true schedule ninety days prior to your journey.
You can find the RENFE website at
www.renfe.es If you don't speak Spanish, not to worry. The site comes up in Spanish, but you can switch to a version in English.
Good luck !!