In a large bowl, cream butter and sugar. Add egg, milk and vanilla; mix well. Combine the flour, cocoa, baking soda and salt; beat into creamed mixture.
Drop by rounded teaspoonfuls onto ungreased baking sheets. Bake at 350° for 8 minutes. Meanwhile, cut marshmallows in half. Press a marshmallow half, cut side down, onto each cookie. Return to the oven for 2 minutes. Cool completely on a wire rack.
For icing, in a small saucepan, combine butter, cocoa and milk. Bring to a boil; boil for 1 minute, stirring constantly. Cool slightly; transfer to a small bowl. Beat in confectioners' sugar and vanilla until smooth. Spread over the cooled cookies. Top each with a pecan half.Yield: about 3 dozen.