Melt margarine in a large skillet; add coconut and pecans. Cook, stirring constantly until golden brown. Set aside.
Combine cream cheese and Eagle brand milk; beat until smooth, fold in Cool Whip.
Layer 1/4 cream cheese mixture in each pie shell.
Drizzle 1/4 of caramel topping on each pie and spread with ¼ of coconut pecan mixture. Repeat layers; cover and freeze.
Remove from freezer 5 minutes before serving.