Costamum - I'm in a similar situation.
Live near Granada, also have minimal social life.
We've found a couple of friends here though (after being here for over a year): strangely not Spanish people (we do speak Spanish), but one English woman who the postman got me mixed up with and another couple who we met through Spanish lessons. We were here for ages before really getting to know anyone.
I would recommend you get the free paper Jan mentions: it comes out on a Friday so if you visit any ex-pat-frequented supermarket (Supersol in Torremolinos is probably the nearest to you) on a Friday you'll see it. It's also online: Sur in English
There are toddler groups in Fuengirola - not sure about closer to Malaga. I found it very odd - such a mixed bunch of people, some of whom I had absolutely nothing in common with. But some nice people too. Not really in touch with any any more as we moved pretty soon after I started going to them.
So - sympathy, try the paper, and do feel free to come and visit us: we're an hour's drive away from you and the skiing season is nearly here! Not that I can ski of course, being a fat pregnant lump, but I can look at the mountains! (looking at them right now, through the office window). What do you for a living in Malaga? and why Malaga?