The lake sits in a tectonic basin being formed as the eastern side of Africa pulls apart. The East African Rift Zone is a feature formed over the last several million years as tectonic forces are splitting the very continent apart. On land, these forces result in the formation of rift valleys; deep, linear valleys surrounded by steep cliffs and normal faults. Some of those steep cliffs can be seen in the far distance in this photo.
Lake Malawi National Park sits at the southern end of this lake in Malawi and has been declared a UNESCO world heritage site due to the setting, surrounded by the scarps of the Great African Rift Valley, and due to the variety of fish and other wildlife sustained by its waters.
Image credit: http://www.fotopedia.com/