This is directly from the Eagle Brand Sweetened Condensed Milk site.
Home Made Carmel Sauce
1 (14 oz.) can Eagle BrandŽ Sweetened Condensed Milk
OVEN METHOD
HEAT oven to 425°F. Pour sweetened condensed milk into 9-inch pie plate. Cover with foil. Place pie plate in larger shallow pan. Fill larger pan with about 1/2-inch hot water to surround pie plate.
BAKE 1 hour or until thick and caramel-colored. Carefully remove from oven; remove pie plate from shallow pan. Whisk caramel until smooth. Cool 20 minutes before serving. Store any leftover caramel in refrigerator. Bring to room temperature or heat until warm to serve.
STOVETOP METHOD
POUR sweetened condensed milk into top of double boiler. Place over boiling water and cover. Simmer 1 1/2 hours over medium-low heat, stirring occasionally, until thick and caramel-colored.
REMOVE from heat. Whisk caramel until smooth. Cool 20 minutes before serving. Store any leftover caramel in refrigerator. Bring to room temperature or heat until warm to serve.
Do not heat in can.
When I was a child, we use to heat it in the can too. However, you really need to pay attention to it so there isn't any accidents with it. I just thought I would give you an alternate way of making it.