Heat milk and marshmallows in a medium saucepan over low heat, stirring until marshmallows melt. Add gelatin, stirring until dissolved.
Combine cream cheese, pineapple, and pecans. Stir into gelatin mixture until blended. Let cool completely.
Beat whipping cream at medium speed with an electric mixer until stiff peaks form. Fold whipped cream into cream cheese mixture, and spoon into a lightly greased 8-cup mold or an 11- x 7-inch baking dish. Chill 6 hours or until firm.
*Any flavor may be substituted.