Hi Lisa,
Firstly, welcome to Malaysia! It's a new change, I'm sure, but kudos for making the decision to step out of your comfort zone - I know it can be difficult!
I'm a Malaysian, born and bred so here are some insights that I hope will help.
KL is like most metropolitans, it's a burst of colour, activities, people and most importantly, the food. I'm not sure where you'd be living, but almost everything is reachable by car, or, if by train/ monorail.
Culture - I'm sure you've done some research, so I won't bore you with unnecessary information. I'm sure you know that we're multicultural. Some things you might need to watch out for is travelling on Fridays. Most companies offer a 2-hour lunch for their staff for the Friday Muslim prayers, so it's best not be on the road from about 12.00noon - 2.00pm on Fridays - unless you want to spend your precious hours in traffic. Other than that, the people are very hospitable - if you get lost, don't hesitate to ask for directions. We are mainly 3 races - Malays, Chinese and Indians, so you'd be able to see mosques, temples and churches all around. We do not wear shoes in the house, it is considered impolite.
Weather - Your husband is from Dubai, and I assume that you've been to Dubai. The weather in KL can get as hot as in Dubai, with high humidity levels - so you sweat a lot! When it rains, it pours at times, so do carry an umbrella/ raincoat during the rainy season. Most houses have air-conditioning units.
Hang-outs - There are lots to do in KL. Comedy nights at clubs, a game of badminton at the court, swimming at the country club, joining a dance class at a studio, going out to the movies, watching a play, and of course, eating. You may want to check out timeout.com/kuala-lumpur for ideas. If you live away from eateries, delivery is an option, try foodpanda.com. Or you could try the local restaurants (we call them 'mamak') for a variety of mouth-watering choices. You must try the nasi lemak, roti canai and nasi kandar. How to know the best shop to go to? Well, Malaysians are avid bloggers, so you can check out online reviews, OR, go to the restaurant that is the busiest Lots of luxury eateries in KL as well. Try Taipan, or the Bukit Bintang area. Every Saturday, my friends and I play badminton in Wangsa Maju, so feel free to join us for a good (much needed) sweaty workout!
How to find friends - Ok, I find the easiest way to network in KL is to join a club/ hobby group. You will find many on Meetup.com. You could attend a Toastmasters' meeting, a book club or a hiking group.
Be secure - As in many countries, just be careful of your belongings at all times. Here, it's not wise to leave your handbag or handphone around. Get a good alarm system for your house, but if you have dogs (like me!), then you're ok. I don't wear much jewellery on me, just to be safe (why attract unnecessary attention?), but that's just me. Lock your house/ car doors.
Well, keep in touch and let me know how you're fitting in. I am quite certain you will find Malaysia a good home.
Good luck!
Sharm