Following is a response from DHS staff member, Tom Pullum:
For the Malawi 2000 survey, the wealth index is "wlthind5" in a separate file called MWWI42FL.dta. You should be able to access that file from the same place where you got the IR file. You can merge it with the IR file using the following lines:
use "...MWWI42FL.dta"
gen v001=substr(whhid,1,10)
gen v002=substr(whhid,11,2)
destring v001 v002, replace
drop whhid
rename wlthindf v191
rename wlthind5 v190
merge 1:m v001 v002 using "...MWIR41FL.dta"
keep if _merge==3
drop _merge