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Log in to your Facebook account on the desktop. · Go to Settings > General Account Settings. · Select “Your Facebook Information” option from the left panel. · Select “Download your information” option from the right panel. · Here select “Messages” option and tap on “Create file” button. · Once you click on this button, it will take a while to complete the process. · Once it will complete the process, it will send you a notification to help you download file. · Click on this notification and tap on Download button next to File you want to download. Here it will ask you to enter a password to download this file for better security. Enter the password and it will prompt a new window asking you to save the file on your desktop.