They are made up of a Rolo candy melted and sandwiched between two pretzels.
Step 1: Ingredients/Tools
The pretzels I use are perfect. They are from Snyder's of Hanover and are about 1x1 inch square and form a little grid (Do not but the Butter flavored ones). I have seen wagon wheel shaped pretzels which should work or you could probably get away with mini traditionally shaped pretzels.
Use salted pretzels... The combination of salty and sweet is key in this treat.
If you are unfamiliar with Rolos they are small bucket shaped milk chocolate covered caramels made by Nestlé.
As for tools you need:
Parchment Paper (or Wax Paper)