In a large mixing bowl, cream butter and sugar until light and fluffy. Beat in egg, milk, and vanilla. Combine the flour, cocoa, baking soda and salt, beat into cream mixture.
Drop by rounded teaspoonfuls 2" apart onto ungreased baking sheets. Bake at 350 for 8 minutes. Meanwhile, cut marshmellows in half. Press a marshmellow half cut side down onto each cookie. Bake 2 minutes longer. Remove to wire rack to cool
For icing , combine butter, cocoa, and milk in a saucepan. Bring to a boil, boil for 1 minute, stirring constantly. Add confectioners sugar and vanill, beat well. Spread over the cooled cookies. Top each with a pecan half.