If you are here on single status, you will need to get your visa here and for your family in India. For you to get a visa here, you will need a No Objection letter from your sponsor. Go with this letter, your passport and a couple of photographs to the Malaysian embassy. Fill their form, pay the visa processing fee and they will issue you your visa within two days. Their procedure is simple and easy. You can also call the embassy and find out more about the procedure.