In a mixing bowl, beat the cream cheese with the sugar. Add the egg, milk and vanilla extract. Set aside.
Prepare the brownie mix according to the package directions. Spoon 2/3 of the brownie batter into a parchment-lined 9 x 13-inch baking pan. Spoon the reserved cream cheese mixture over the brownie batter. Now scrape the remaining brownie batter over the cream cheese mixture. Swirl the tip of a knife through the batter to make a marbled effect. Press M&M'S® Brand Chocolate Candies into the batter.
Bake for 45-50 minutes in a preheated, 350-degree oven until slightly moist in the center. Cool completely before cutting 8x4 into 1½-inch squares.