@Abena ******
You can ONLY apply through the Thai embassy where you are physically located. That means if you go to Malaysia you must apply through a Thai embassy in Malaysia. One of the questions on the application is "proof of current location."
That means you cannot apply for multiple entry tourist visa, unless you are physically inside of your home country, and apply through the Thai embassy in that country.
Unless you are a resident of Malaysia with proof that you are a resident there, you cannot apply for a METV there.