It cracked me up that someone actually asked for the recipe for this. It seems quite obvious, but I won't be judgmental. At least for the next thirty seconds, anyway. Many people who make this put pecans or walnuts on top - which takes it to the next level, but I am too cheap.
One bag Rolo candies, unwrapped (duh - hey, thirty seconds is up)
One bag small pretzels - the ones that look like a floppy figure 8
Heat oven to 350. Put one Rolo on top of each pretzel (duh - oops, sorry). Bake for about 8 minutes, until the Rolos just start to melt. Cool until firm - this may take about an hour.
If you want to be all fancy-pants for holidays, top with appropriate color M&Ms right as they come out of the oven. It's dangerous decorating because the caramel is molten-lava hot. Red for Christmas, pastels for Easter, and so on. You get it.