Malaria is a parasitic infection of the blood caused by any of four Plasmodium species of protozoan parasites. The four species are P. vivax, P. ovale, P. malariae, and P. falciparum. P. falciparum causes the worst disease and highest number of deaths. When an Anopheles female mosquito bites you to collect blood as a meal, the mosquito dumps anticoagulant chemicals into the wound. At the same time, the mosquito delivers a payload of malarial parasites. Once in the blood, the parasites reproduce in the liver and then the red blood cells. As they continue to multiply, the red blood cells are destroyed, leading to anemia.
Normally, the blood-brain barrier keeps out any blood (and, by extension, any blood infections) out of the brain. However, a number of conditions may lead to the breakdown of the blood-brain barrier. Once this happens, the malarial parasites get into the brain tissue and continue to attempt to reproduce there. This is cerebral malaria.
Like with any infection of the brain, cerebral malaria will lead to altered mental status, headaches, behavioral changes, and possibly even death. Fortunately, the treatment for malaria is relatively cheap in the United States, and travelers are advised to take prophylactic medication if they plan on visiting areas of the world where malaria is present. Unfortunately, malaria is the biggest burden in parts of the world where "cheap" for us means "a luxury" for many. As a side note, over 250 million NEW infections are estimated to happen each year by the World Health Organization... About one million deaths occur each year because of this preventable and curable disease.