There are two stations in Malaga centre, the first one you stop at (Maria Zambrano) links with the main line RENFE station for trains to the rest of the country, and the last stop is Centro Alameda in the heart of the shopping area.  However they are very close together and either will do for the centre of Malaga.

Plaza Mayor is a new complex of shops, restaurants and multi screen cinemas and is well worth a look. However check the timetable as not all trains stop there.