In a mixing bowl, beat the cream cheese with the sugar. Add the egg, heavy cream and vanilla. Set aside. Prepare the brownie mix according to the package directions choosing the directions for the cake-style brownies.
Spoon 2/3 of the brownie batter into a parchment lined 9 x 13 pan. Cover the batter with 1 1/2 cups of M & Ms. Spoon 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 remaining 1/2 cup of M & Ms into the batter. Bake 45-50 minutes in a 350° oven.