Learning a solo by ear. A good thing to do but you should at least have some background before trying to learn a malmsteen solo by ear. Solo's are alittle more advanced and unless your ready for it, you'll just stress yourself out. Try figuring out small melodies (TV show theme songs are a good start), chord progressions first. You should have a nice grip on that before trying to scribe a solo. Chord progressions will actually help with learning the solo and why the solo sounds good. If you know the chord the solo is being played on, it's easier to figure out what notes and scales are being used. Also knowing the solo and the chord progression and how they work together will give you a better understanding on how to solo.

A good thing to do is think up a simple melody first. Then do variations of that melody, add fills, runs up and down to that melody, or any little trick you see your fav guitarist using. The techniques will fill in the gaps here. Take a sequence like a tapping one, and do it up and down the neck with only slight variations as an example. Also depending on how long the solo is you may need to think up more than one melody: The longer it is the more melodies and hooks you need. But for each phrase, a good start is to think melodically first. Melodies are what catch the listeners ear.

Learn solos on other instruments as well. Sax, violin, piano, anything you can get you hands on.