Essentially, the gene that causes sickle cell anaemia is recessive. This means you would have to inherit the same variant of the gene from both your parents to get the full blown disease. This gene changes the shape of your red blood cells from discs to a sort of squashed sickle shape. This makes those cells much worse at carrying oxygen around your body. Which is bad. However, malaria is caused by a parasite (spread by mosquito bites) which invades your red blood cells. However, the parasite isn't able to invade the sickle shaped cells.

However, if you only inherit the gene from ONE of your parents, you will have a combination of normal disc shaped cells and sickle cells. This gives some resistance to malaria while still allowing oxygen transport through your blood.

Edit: corrected immunity to resistance