I would suggest a small, comfortable, safe and economical car. A Honda Jazz, Proton Iriz or something like that.
Sounds boring, but the OP will have a shock if he wants a sports car, in the UK and Western countries we are spoiled because sports and luxury car's are not taxed so heavily. I owned several car's that were fairly powerful and sporty stock in the UK that would not be able to afford in SE Asia, because they would attract 300% tax.
The difference in SE Asia is you can take a boring car and turn it into something fun if you have the patience and are interested in cars, because of the availability of JDM parts, engines and half cuts, as well the labor cost being much lower. In the UK a good mechanic will be charging 250+ Malaysian ringgit per hour to work on your car so to do big mod's like an engine swap it is just not worth it when there are used stock sports car's for sale for affordable prices.
To the OP, if you want a fast sporty car in Malaysia, but if you are not a millionaire who can afford to pay crazy high prices, look at the JDM scene. Many Proton's are built based on Mitsubishi, and there are many quick Mitsubishi's that get imported to countries like Malaysia and Thailand as half cuts (officially as scrap to get round the tax issue) allowing you to build and run a quick and sporty car without paying crazy high prices.
I maybe oversimplifying things, and my personal experience is in Thailand not Malaysia but I am sure other BM's here can advise you more.
If you wanted a quick Jazz or a quick Yaris you could swap the stock engine to a K20a (Honda Jazz) or 2ZZ (Toyota Yaris) but I think almost every performance shop in Malaysia know's how to work on Mitsu/Proton, so I would research what JDM engine goes into what local car model more easily and choose what car to buy based on that.
Regarding the driving licence, IMO it is worth getting a new international permit while still in the UK, you can get one by showing your UK driving licence, and giving a passport style photo and a small fee in any major UK post office. I don't know about Malaysia but in Thailand they swapped my international driving permit for a full Thai driving licence without me having to do any test or exam, except a colour blindness test and perception test. I still have my UK licence which is registered to my families UK address and I have my Thai licence which is registered to my Thai address.
Hope that helps!