Preheat oven to 350° (325° for glass dish).
In large bowl, combine flour, sugar and cocoa; cut in margarine until crumbly.
Press firmly on bottom of 13x9-inch baking pan.
Bake 15 minutes.
Meanwhile, in medium bowl, beat sweetened condensed milk, egg and vanilla.
Stir in pecans.
Spread evenly over baked crust.
Bake 25 minutes or until lightly browned.
Cut into bars.
Store covered in refrigerator.