See my Chocolate Pretzel Bites Post for how to pics. This is basically the same thing just a couple different ingredients.
Rolos (I used Caramel Hershey's Kisses because I couldn't find Rolos. They were a bit messy as the caramel oozed out but they were delish!)
1. Line a cookie sheet with pretzels. (I do not suggest using wax paper for these. I did and I spent a long time peeling the pretzel bites off the wax paper because of the oozing caramel.)
2. Place a Rolo (Or Caramel Hershey's Kiss) on top of each pretzels.
3. Place in oven, preheated to 350°F, for 3 minutes. (You may want to try shortening the time and maybe you won't have oozing caramel.)
4. Immediately after you remove the cookie sheet from the oven, place a pecan on top on each pretzel bite, pushing down slightly.
5. Let bites cool.
6. Place cookie sheet in the frig to allow the chocolate and caramel to harden.
7. Enjoy the deliciousness!