there is alot of courier company in malaysia like DHL, GDex, Citylink and etc..

check with the sender of which is the courier company they use from delivery location and get agent contact details of receiving location and also get the consignment note (a slip form of the courier) from the sender.

small parcel normally goes by courier which is cheaper.
if you have alot of cargo (volume) then it will be going into container and ship it out which is more reliable then courier as for the documentation part you need to look for freight forwarder like my self.