
Lightly grease an 8" x 9" glass baking dish. Set aside.
In the top of a double boiler over medium heat, melt the butter. Stir in the sugar, cocoa powder, and salt and whisk until well combined. Remove from heat and slowly whisk in the beaten egg, making sure not to cook it before it's blended. Stir in the graham cracker crumbs, chopped pecans, and shredded coconut Spread the mixture into the bottom of the prepared pan. Cover with plastic wrap and chill the bottom layer for at least 30 minutes.
In a medium bowl, and using a hand mixer, mix together the powdered sugar, butter, milk, vanilla, and pudding mix. Mix until fluffy, and you can add a bit more milk to thin it out, if needed.
Once the bottom layer is chilled, spread this creamy filling over the bottom layer. Then cover and chill for another 30 minutes.
In the top of a double boiler over medium heat, melt the butter and chocolate together. Spread the melted chocolate over the middle vanilla layer. Cover and chill for at least 30 minutes.
To serve, allow the cookies to rest at room temperature for 15 minutes before cutting into bars. Store extra cookies in an airtight container in the refrigerator.