I have a leaflet in front of me explaining the pricing structure on this line. The basic price for one ticket on a one way journey from Madrid to Malaga in Tourist class (similar to first class coaches in England!) is either 7.000 Pts or 8.200 Pts, depending on whether you travel off peak or not. For First Class, the price is either 10.200 Pts or 11.900 Pts.
Then various discounts are available, such as if you book a normal return trip (return leg to be made within 60 days of the outward journey)there is a 20% discount. If you book a return journey whereby you return the same day (unlikely in your case, but businessmen use this train a lot) the discount is 25%.
As for group travel...........have a look at my post about RENFE discounts and see if you can fathom it out? I'm still trying!
The time for the journey from Madrid to Malaga is about 4 and a quarter hours. The local train from Malaga to Fuengirola goes every half hour, on the hour and half past.
Hope this helps!