First, you'll need to buy some pretzels ... obvious, I know. Next, you'll need to find the coating. Now, for this I suggest Almond Bark. It's pretty cheap (which is nice in case you wind up wasting a batch by dropping it on the floor ... I'm just saying) ... and it melts up beautifully in the microwave. Just follow those good old package directions, they won't let you down. You can usually get Almond Bark in a few flavor options in the baking aisle of the grocery store. I also recommend having some wax paper handy.
Then ... let the pretzel fun begin! Simply heat up the Almond Bark, dip the pretzels in, and let them cool on some wax paper! If you are adding sprinkles or decorations of some kind, do that before they cool, or the sprinkles won't stick right. We also found that fishing the pretzels out of the chocolate is easiest for little hands if you let them use a fork:
The fork will help the excess chocolate drip off before placing on the wax paper. That way you can make a lot more pretzels and don't wind up with a pretzel completely lost in a mound of hardened chocolate.
By the way ... don't feel limited to pretzels with this activity either! Try dipping bananas, animal crackers (my personal favorite), strawberries, or summer sausage! ... ... ... Nevermind that last suggestion, I got carried away there.