BAKE pie crust as directed on package; cool completely.
MEANWHILE, cook caramels and water in saucepan on low heat 10 to 12 min. or until caramels are completely melted, stirring frequently. Add dry pudding mix and milk; stir. Bring to boil, stirring constantly. Pour into bowl; cover surface with plastic wrap, with plastic wrap pressed against surface of pudding. Refrigerate 30 min. or until slightly thickened.
STIR pudding mixture; pour into crust. Combine COOL WHP and marshmallows; spread over pie. Refrigerate 4 hours or until firm.