Combine caramels and milk in small bowl and microwave on high for 1 minute. Stir and microwave again until completely melted and mixed well. Set aside. Combine flour, sugar and pecans. Cut in butter (or margarine) until crumbly, and then add egg. This will make a crumbly mixture. Place 2/3 of mixture in a greased 9-inch pie dish, pressing mixture into a piecrust. Cover with apple pie filling and spread caramel mixture over top. Next, cover with remaining crumble crust and bake at 350°F for 45-50 min.