As you know, Facebook has completely overhauled their features lately.  You can read more about this on Mark Zuckerberg's blog post here.

One of the coolest features for advisors, is that now you can download a copy of all your Facebook content.

"First, we've built an easy way to quickly download to your computer everything you've ever posted on Facebook and all your correspondences with friends: your messages, Wall posts, photos, status updates and profile information.

If you want a copy of the information you've put on Facebook for any reason, you can click a link and easily get a copy of all of it in a single download. To protect your information, this feature is only available after confirming your password and answering appropriate security questions. We'll begin rolling out this feature to people later today, and you'll find it under your account settings."

- Mark Zuckerberg

Once open your account settings, look for the link at the bottom...

Download a copy of your Facebook data.

ArchiveFacebook

If you use the Firefox Browser, you can also download an Add-on called ArchiveFacebook.

ArchiveFacebook is a free tool that allows you to save content from your Facebook account directly to your hard drive. Archive your photos, messages, activity stream, friends list, notes, events and groups.

See Screenshots and Download this Add-on here.