this is a classic problem but I'll respond it anyway just so it pops up in google:
9530 US version still has the US country under the smart dial.
Go to Option -> Smart Dialing and change the country code there. Change the other stuff accordingly. This should fix your 9530 for Malaysia. Too bad its one of the few things apparently the locals are so oblivious about when dealing with the completely unpopular series.
did you enable the global setting in the network option? 9530/9550 is hybrid CDMA/GSM phone. If your provider is GSM provider, you need to change Network technology setting to GSM/UMTS, not the global nor 1xEV. try and see if this helps.