Hi, epaulino4 --
From downtown Madrid, the easiest-to-reach really nice, large mall is probably La Vaguada, in the Barrio del Pilar in northern Madrid. By easy-to-reach I mean a couple of subway rides totaling 45 minutes.
I was up in that neighborhood to see a show at the Teatro de Madrid and wandered through the mall. I was either impressed or depressed to find something that seemed just like one of our larger, local indoor suburban malls here in the States.
I also remember seeing a mall in or around Pozuelo, in the Madrid suburbs, accessible via one of the Cercanias trains. But I never got off at that stop and don't know what the mall is like. I think that *might* be the Las Rozas mall you mentioned, but I'm not sure.