Malcador was the right-hand man of the Emperor during the Great Crusade and Horus Heresy. He was an incredibly powerful psyker and skilled leader, though was dwarfed by the Emperor in most respects. He dutifully served his master, even to the bitter end.
Malcador had served the Emperor as early as the Unification Wars on Terra, and adviced him at every step of the way. He was particularly concerned with the Primarch project, and feared that the Emperor's Imperial Truth would be insufficient for guiding mankind. He was privy to nearly all of the Emperor's plans, including the Webway project, which required absolute secrecy until it was complete.
During the Great Crusade he stayed behind on Terra to administer the capital of the newborn Imperium, laying the foundation for its many institutions, including the Adeptus Astronomicon, Officio Assassinorum, and the Administratum. During the Horus Heresy, he founded the Inquisition and Knights Errant, who would become the Grey Knights.
Towards the end of the Seige of Terra, Malcador voluntarily offered up his life to power the Golden Throne and keep the broken Webway gate closed, while the Emperor would duel Horus. Malcador's soul burned away as a result, but not before allowing the Emperor to say some final words to his sons prior to his internment.
Malcador's story is almost completely in line with the official canon, although for brevity's sake he takes the Golden Throne from the Emperor immediately after presenting him with the Knights Errant.