malmsteen was a classically trained musician. he might try and fool you with all that macho crap, but the guy put the work in
you'll need a musical base before you get to the shredding. shredders are a lot of fun, but they all got there the hard way, which is by learning to be musical before you learn to move your fingers quickly
on your chops:
get a metronome and keep at it.
downpicking, alternate picking, tremelo. whatever. just play and make sure it's in time.
go through the modes, scales, arpegios, sweeps, whatever, but make sure that you're playing music and not just dicking around.
my favorite shredders are buckethead, randy rhodes, and eddie van halen.
the truth is that i can't stand osme of the stuff that shredders do any more. it's often guitar pron, not music.