Brocho before eating this: Borei Minei Mezonos
Brocho after eating the proper shiur of this: Al Hamichya
If the Baklava is baked (not fried) and one is Koveah Seduah on this item, Hamotzi Lechem Min Ha'aretz and Bentching are required.
Source: Sefer Sharei Haberacha (page 531)