In the pan of your bread machine, combine water, melted butter, vanilla pudding, warm milk, egg, 1 tablespoon sugar, salt, bread flour and yeast. Set machine to Dough cycle; press Start.
When Dough cycle has finished, turn dough out onto a lightly floured surface and roll into a 17x10 inch rectangle. Spread with softened butter. In a small bowl, stir together brown sugar, cinnamon and pecans. Sprinkle brown sugar mixture over dough.
Roll up dough, beginning with long side. Slice into 16 one inch slices and place in 9x13 buttered pan. Let rise in a warm place until doubled, about 45 minutes. Meanwhile, preheat oven to 350 degrees F (175 degrees C).
Bake in preheated oven for 15 to 20 minutes. While rolls bake, stir together cream cheese, softened butter, confectioners' sugar, vanilla and milk. Remove rolls from oven and top with frosting.