Preheat the oven to 250°F. Place 25 of the square pretzels on a baking sheet lined with parchment or foil. Place one Rolo candy on top of each pretzel.
Place the baking sheet in the preheated oven and bake for 3 minutes, until the Rolo's have softened, but not melted. Remove from the oven and place a square pretzel on top of each Rolo to form a sandwich. Let cool completely.
Add the white chocolate to a microwave safe bowl. Heat for 1 minute at 50% power, then stir. Continue to heat at 30 second intervals, stirring in between, until melted. Or follow the directions on your packaging for candy melts.
Dip one half of each pretzel sandwich into the melted chocolate. Allow the excess chocolate to run off, then return to the baking sheet. Sprinkle with rainbow sprinkles while the chocolate is still warm. Allow to cool completely before serving.