Mix milk, sugar, butter, egg yolks and vanilla in large saucepan. Cook on medium heat 12 minutes or until thickened and golden brown, stirring constantly. Remove from heat.
Add coconut and pecans; mix well. Cool to room temperature and of desired spreading consistency.
Makes about 4 1/2 cups or enough to fill and frost top of 9" 3 layer cake, or frost tops of 3 (13x9) cakes or 24 cupcakes.