Preheat oven to 350. Line a baking sheet with parchment or silicone baking mat and set aside.
In a large bowl, stir the brownie mix, egg, oil, and water together until dough forms.
Using a cookie scoop, scoop 18 cookies onto your prepared pan. Press down with your fingers.
Place 1 unwrapped caramel on each cookie dough bottom and sprinkle with sea salt. Top with another scoop of cookie dough.
Press down and seal the caramel in so it is completely encased in dough.
Bake 10 minutes and remove from oven. Keep cookies on baking sheet another 5 minutes before removing to wax paper. DO NOT place on cooling rack. There's a possibility that the bottom cookie could tear, letting your warm caramel ooze out. Serve warm with milk.