Malmsteen is pretty simple when it comes down to scales , he sticks with Harmonic Minor and it's Phrygian (dominant) mode ... Namely , [A] harmonic minor and [E] phrygian dominant , and occasionaly [F#] Harmonic minor ! :D
The notes of [A] harmonic minor are exactly the same as the C maj key , but raise the G note one half step into G# instead , and go .
Here is how the scales go :
A harmonic min - A B C D E F G# (a)
E phrygian dominant - E F G# A B C D (e)
You'll just have to learn patterns of these scales to improvise , you'll find those patterns in malmsteen's solos , or you can just play that notes of A min , and make sure that each G note is played G# instead.