Where does malaria normally come from?
Malaria is caused by single-celled parasites of the genus Plasmodium; the parasites enter the human body via the bite of an infected mosquito. However, the mosquito has to pick up the infection in the first place from another infected human; so in a sense, you could say that malaria both comes from mosquitoes, as well as from other people, although only indirectly!
More generally, your question could be read as asking where does malaria come from geographically—malaria is actually distributed over most of the world, and at some point or another has been found on all continents except Antarctica. In modern times, it tends to be restricted to the tropics and sub-tropical regions of the world, since temperature is a key factor pertaining to its survival. However, seasonal transmission (especially in the summer, hotter months) still persists even in some temperate regions. Moreover, with global climate change, it is feared that the distribution of malaria will continue to spread, and even more people will be affected.