Place pretzels on a parchment paper lined baking sheet. Preheat oven to 350 degrees F.
Place one unwrapped Rolo caramel chocolate candy ontop of each pretzel.
Bake candies for 3 minutes. Remove from oven and place M&M's on top of Rolo candy. Gently press down, to fill the pretzel with melted candy.
Let the pretzels cool until they are set and ready to be removed from parchment.
Notes
I recommend keeping this candy in a container with a lid on the counter or in your fridge, for the longest shelf life. You can keep them on the counter on a plate for a few days, however, the pretzels can dry out and won't be as crunchy.