The best way to learn a language, of course, is to live somewhere where it is spoken as the primary language. But what if you're trying to learn something like Malayalam from afar?
Why start with listening?
The biggest issue with trying to learn a language in this kind of a situation is that the most convenient medium for teaching yourself a language is written - but if you want the language to be a tool for in-person communication, this just isn't going to be enough. Somehow, you have to train yourself to make a real connection between the written letters and the sounds.
I found this to be true from the very start. Although it seemed like a good idea to just jump straight in with the alphabet, I found that that I at least couldn't even hear many of the differences in the sounds right away - and trying to memorize all 51 letters when their pronunciation wasn't particularly clear in my head was a pretty painful beginning. Even when I managed to hold them all in my head for a day or so, I would very quickly forget and have to start over.
A better way do things, then, at least for me, was to get used to hearing and processing Malayalam words as my very first task, without worrying about how those words were written.
How do you actually go about starting with listening?
There are, I'm sure, lots of ways that would work to do this - the key is just to make sure you're actually processing the sound, not just passively listening. This means having the Malayalam internet radio station running in the background is nice and all, and might do some good (I do it while I work, often), but it's nowhere near as good as having a task where you actually have to remember and distinguish the sounds.
The way I did this was to use a cheap commercial product: Talk Now! Learn Malayalam - Beginning Level. It doesn't seem to be for sale at Amazon any more, but I do see it floating around still - I'm sure you can find it somewhere or another. It's simple, and it won't give you a huge vocabulary, but its interface is easy and its games are stupid but kind of fun, and after playing around with it for a while you'll be a whole lot better prepared to launch into actually taking a stab at reading and writing the language.
A bit more rambling on why it makes sense to start with listening
Although I didn't think of it this way at the time, this may actually make some sense in terms of science. In my real life, I happen to do Neuroscience research, studying the neural mechanisms of sensory processing. There is strong evidence that for a number of different sensory systems, such as vision or your sense of smell, your brain cells actually rewire themselves over time in response to the stimuli they hear - making the sense that "wow, last month that phrase sounded like an indistinct blur, but now it actually sounds like words!" one that may well be due to an actual physical change in your brain that takes place below the level of your conscious awareness. So, you might as well sit back, play the silly little games, and rest easy knowing that your brain's doing most of the hard work without any attention on your part, at least for now!