Malmö is easily accessible via Copenhagen airport. Trains depart every 20 minutes and take less than half an hour to Malmö Central. The Börshus is situated just opposite Central station. You'll be there in less than an hour after landing at Copenhagen.
To book train tickets Copenhagen airport to Malmö C go here. Tickets can also be bought at the vending machines at Copenhagen airport and Malmö Central, respectively.
For guests arriving by car there is ample parking in the adjacent parking garage at Bagers plats and at Malmö Central Station.
See also the Map of Malmö.