It took me a little while, but I think I've got it figured out now.
For the most part, brothels here in KL are all poorly hiding as massage parlors. This ranges from the fancy looking spa at the 5 star hotels, to the far more seedy "foot massage" places in the tourist district.
In Brick Lane, London, owners of curry houses stand outside with laminated plastic menus, which they shove under the nose of every passing tourist, which advertise the multitude of food options available for the low low price of 3 pounds.
Likewise, in Bangkok, Thailand, touts standing outside sex shows use laminated plastic menus which explain, in detail, all the various sex acts that you are guaranteed to see upstairs.
Here in KL, outside the massage places, tarted up women have the same laminated menus, except that these list only legitimate acts (foot, back, hot stone, etc).
The sordid bit, of course, is left to the imagination. Why else would a heavily made up woman be promoting a foot massage, in a store-front below a hotel that advertises hourly rates for its rooms?
I made this mistake in thailand a few years ago -- beautiful made up women give absolutely horrible massages, as, of course, their clients tend to not go to them for such services. I've learned since then that if you want a good massage, it's best to go for an aging woman, with calloused hands, or preferably, an old man whose armpits smell like week old socks.
And thus, I've found myself, night after night, crossing the road, walking past the poorly disguised pimps, the briefcase on a table viagara and merkin sellers, and numerous night-market stalls selling fake clothes and DVDs, to a collection of 6 or so beach chairs where old men perform massages out in the open.
At 25 (7USD) ringgit per half hour, it's approx 4x as expensive as Thailand, but it's still out of this world, and a wise investment.