I will go Shanghai for exchange in two months. I have no idea of the visa application procedure.

Exchange for study or something else? How long will you stay in Shanghai?

exchange for a volunteering program. for 2months

Then, I think you should apply for a China business visa for this. If you you are living in Sarawak, Sabah, Labuan, you may just go the China Consulate in in Kuching to apply for the visa with the documents listed below:
1. your Malaysian passport with over 6 months validity and more than 2 blank pages left
2. a completely filled visa application form with a recently-taken passport photo stuck on it
3. A letter of invitation from a Chinese company/unit or letter of guarantee from a Malaysian company
4. Round-trip air ticket
Prepare 30 Ringgits for the visa fee as well.

igf you live in the other places of Malaysia, you should apply for the vis afrom the China Visa Application Service Center on 2nd Floor, Plaza OSK, 25 Jalan Ampang,50450 Kuala Lumpur, Malaysia. Then you have to pay an additional service fee of 28 Ringgits to the service center.