Set in the picturesque venue of the Munro Boutique hotel in Houghton, Johannesburg, the Mzansi’s Sex.
"I saw Madonna, her adopted two children David Banda and Mercy James, plus an entourage of 10, come through the VIP," Peter Botha, a spokesman for the Lilongwe airport police, told AFP.
He said Madonna arrived shortly before midday at Kamuzu International Airport in Lilongwe on a private jet.
Her visit -- the reason for which remained unclear -- comes three months after education authorities challenged a claim by her charity Raising Malawi that it built 10 schools in the impoverished country last year.
Education minister Eunice Kazembe said the charity had only built 10 classroom blocks and not schools.
Madonna's charity, in tandem with global non-profit buildOn, had announced in December the completion of 10 schools, claiming they would provide education to 4,871 children.
It is not the first time the singer has run into trouble with authorities in Malawi, the native home of her adopted children.
In 2010 Madonna laid the foundation stone of a $15-million (11.5-million-euro) academy for girls in Chinkota village, outside the capital Lilongwe. But a year later the project was cancelled because of mismanagement, and local employees sacked.
The academy was replaced by plans to build schools, in order to reach more children.
Madonna's charity also supports child care centres in the country, which is home to nearly one million children orphaned by AIDS.