Preheat oven to 375°F. In a large bowl, combine brownie mix, 4 eggs and water and stir until smooth. Pour mixture into a 9x13 inch pan and bake 20 minutes. Put milk and caramels into saucepan and heat on low, until caramels are melted. Spread caramel evenly across the baked brownies. Next, mix cream cheese, rest of eggs, sugar and vanilla in a small bowl. Spread mixture evenly over caramel. Bake an additional 20 minutes. Let cool and put Cool Whip and pecans on top.