Malware is any scam that uses software developed to maliciously attack a computer. If a site has malware, it means that it has malicious software that it installs on your computer. Some examples include Trojans, adware, browser hijackers, Potentially Unwanted Programs (PUPs), spyware, keyloggers, computer viruses, ransomware, and computer worms. Numerous other types of malware are software.
All malware is malicious but not all malicious sites are infected with malware. For instance, an illegitimate site may steal your sensitive information such as credit card details if you are using a scam site.
You may also be interested in learning what is a malicious website.