I'm a Malaysian Married to A West African whom required visa to visit Hong Kong,

Jens, those documents are needed: copy of passport, the application form, a bareheaded color photo taken recently, proof of financial support, flight itinerary, hotel reservation and travel plan.
If the application is submitted to the embassy of China in Malaysia and it is processed there, 4 working days may be needed; but if it is transferred to HK immigration department, 4 to 6 weeks will be needed.