Arrange pretzels on an ungreased baking sheet. Unwrap the Rolo candies and place one on top of each pretzel.
Bake in preheated oven for 5 minutes, until Rolos are glossy but not melted.
Press one M&M halfway down the top of the Rolo. Allow them to set at room temperature for at least 30 minutes. (Alternatively, place in a single layer in the refrigerator to set for 10 minutes.)