In large ramekin, pour caramel sauce about one inch deep. Put pecan pieces in a second ramekin.
Take mason jar out of freezer. Dip rim in caramel and then into pecans. Return to freezer.
In a small skillet, melt butter and brown sugar. Slice banana and add to pan. Let simmer 1-2 minutes. Pour in rum and stir. With a gas stove, tilt pan towards flame (away from you) to ignite rum. Otherwise, use a lit, long stick match and wave over the pan until rum ignites (be safe—the flame might shoot up).
When pan has started to flame, turn off stove and let pan sit until fire burns out. Allow to cool slightly before adding to ice cream.
In a blender, add ice cream, cooled bananas, and milk. Blend until smooth. Remove mason jar from freezer; pour milkshake to the rim. Top with whipped cream, caramel, and pecans.
* I like to start with a cold glass just so the caramel doesn't run down the glass as much. It sort of freezes in place this way.