Place a saucepan over low to medium heat. Add the apples, butter, brown sugar, and cinnamon.
Stir often and cook until the apples soften and the sugar dissolves. Then, increase the heat to medium.
Add the heavy cream and vanilla extract. Continue cooking until the mixture thickens, stirring continuously to prevent burning.
Once the apple pie sauce thickens and caramelizes, remove the pan from the heat and set it aside. Let the sauce cool completely.
To make the milkshake, blend the vanilla ice cream, milk, and caramel apple sauce until smooth.
Pour the milkshake into two glasses. Top with whipped cream, graham cracker crumbs, a drizzle of caramel sauce, and apple slices. Enjoy!