Facebook has its own email program so you can easily email your facebook friends. This is especially useful for those friends you might have an email address for. And like other email programs, you can attach photos to your messages. This is a great way to share profile pictures and other small images, but is not ideal for sending multiple images.
When a photo is sent via Facebook emaiil, it typically shows up in the message (as opposed to showing as an attachment). To save this photo to your computer, just RIGHT CLICK on it and select SAVE IMAGE AS.
Be sure to note where the image is being saved to before you click to save it. If in doubt, check your "Picture" folder, "Documents" folder or "Download folder. You can also check the desktop. These are the locations where most downloaded attachments are saved.