We are arriving in Copenhagen from the USA, at 5 pm and want to go directly to Malmø, Sweden. Is there a train from the airport or do we have to go to the Central station first?
The trains from Hovedbanegården (Central station - or anywhere else in Copenhagen) going to Malmø all goes past, and stops at, the airport, so no need to go back and forth. When you come out of the bagage collection area into terminal 3 (terminal 2 only has check-in for departures, everything else is shared), just go straight ahead, there's less than a 100m to where you'll have to get down to the trains, and good signage. There's a picture in Finding the train station at Copenhagen airport.
Uber was in Copenhagen until a few years ago, but closed down, I don't think they're in Malmø either.