The last I tried was 3 years back. I had a DVB-T usb stick. Just plugged the regular rooftop yagi antenna into it and scanned on my PC. Found 4 channels at the time. Just make sure you're pointed at KL Tower.
At the time it was MPEG-2 (probably still is) and they were looking to upgrade to MPEG-4 before launching. Dunno how's the progress so far.
Digital TV Station Malaysia, How do I tune to digital TV station?