You will have to fly into Malaga, then drive down to Marbella (not that far).
When we did it, we flew on AirFrance....we had a direct flight to Paris from Detroit then flew from Paris to Malaga. We got double NWA FF miles as a special "AirTeam" promotion with AirFrance.
I looked at Iberia Airlines as they had slightly cheaper rates, but heard many many warnings from people that had not found their service satisfactory for one reason or another. Also, they tended to make a lot of connections, and we wanted to keep it as easy as possible as it seems every time you make another connection in another country it opens you up for all sorts of delays and cancellations of flights.
Do be careful if you book via Toronto with a connector then to the USA on the way home. You need to give yourself a looooooong connection time. We found this out the hard way when we missed a connecting flight on our flight from Palermo to Milan to Toronto to Detroit.......a 3 hour connection time didn't do it. You have to pick up your luggage in Toronto, go through customs, go to a new terminal with your luggage, go through USA customs, recheck your luggage and board your plane. YIKES! It takes a long time and I won't connect through Canada again.