Preheat oven to 350 degrees. Line a cookie sheet with parchment paper or foil. Lay out your pretzels on the foil/parchment, evenly spaced. Top each pretzel with an unwrapped Rolo. Bake for 3 minutes, or until Rolos are starting to soften. Remove from oven, and immediately push an M&M into the center of each Rolo. Refrigerate until firm.