What is malware? The term "malware" covers all sorts of malicious software that may harm a computer or network. Kinds of malware include, but limited to viruses, worms, spyware, and Trojan horses. Malware can be found not only on applications, games, or somekind that you'd download to your computer as a file, but it can also be a code or script on a website. Once a website (so computer) has been compromised, it can be used to host malicious content. Such as phishing, where is designed to trick users into parting with personal and credit card information. And that, the hacker may even take administrative control over the website.
It's very rarely happened, but if you want to check whether or not your website has been hacked and hosts a malware, you can take advantage of Google Webmaster Tools's features to check it. Just go to your Webmaster Tools home page and you'll find a notice that your website hosts a badware, if your site's that. Much more, you will also find a guidance for your help to cleaning up your website if you'd like.
Speak english, maybe you want to read my previous post if your website has been infected. Here it is: Ask Google To Reconsider A Website.