We develop the theory of nonlinear spectroscopy for a single molecule undergoing stochastic dynamics and interacting with a sequence of two laser pulses. We find general expressions for the photon counting statistics and the exact solution to the problem for the Kubo-Anderson process. In the limit of impulsive pulses the information on the photon statistics is contained in the molecule's dipole correlation function. The selective limit, the semiclassical approximation, and the fast modulation limit exhibit rich general behaviors of this new type of spectroscopy. We show how the design of external fields leads to insights on ultrafast dynamics of individual molecules that are different from those found for an ensemble.