There are numerous activities available for the kids in the local towns:

Boat Trips in Fuengirola
http://www.viva-malaga.com/barco_aquavista_boat_trips_p1144.php

Fuengirola Zoo
http://www.viva-malaga.com/fuengirola_zoo_p184.php

Aquavelis Water Park - Velez Malaga
http://www.viva-malaga.com/aquavelis_water_park_velez_malaga_p438.php

Aula del Mar Aquarium
http://www.viva-malaga.com/aula_del_mar_aquarium_p3320.php

El Ingenio Commercial Centre
http://www.viva-malaga.com/el_ingenio_commercial_centre_velez_malaga_p439.php
includes Shopping Centre, Cinema, Burger King, Pizza Outlets etc.