Edited 12th April 2007.
The Guardian (20th March) reports work done at Johns Hopkins University which has created mosquitoes which cannot pass on the Plasmodium parasite that causes malaria. This has indeed been done by genetically modifying the insects. The work is published in PNAS. There is a report on the BBC website.
I was struck while watching Comic Relief by the enormity of malaria: they reported a village in (I think) Tanzania, where a Comic Relief funded project had given mosquito nets to all pregnant women and mothers of young children. The number of deaths in the village dropped by 80 percent. All that is from memory, so not necessarily a reputable and reliable source!
New bit added 12th April:
SciDev.Net has discussion of other work in this field: mosquitoes have been made that are resistant to malaria and dengue fever. For this to help stop the spread of these diseases to humans, those resistant mosquitoes need to do well in the wild - those mosquitoes need to be dominant there. SciDev.Net discusses a paper in Science (which our subscription does not include, so at present the link does not go to full text) which does similar things with Drosophila. I suspect the Science paper will become available in full when it is published in the print journal.