The first thing you have to have is a 9x9-inch pan of brownies, boxed or your favorite recipe, baked and cooled in pan.
In a medium microwave-safe bowl, combine caramel candies and milk. Heat on high in 30 second bursts, stirring in-between, until melted and smooth. Pour mixture over brownies and spread to edges. Set aside to cool. When caramel has cooled and firmed up a bit, make the next layer.
In a medium microwave-safe bowl, combine chocolate and shortening. Heat on high in 30-second bursts, stirring in-between, until melted and smooth. Add peanuts and pretzels, then stir gently.
Top caramel with chocolate mixture, spooning mixture over entire surface. Let cool and harden before cutting. Wrap tightly or store in an airtight container.