Log in to Facebook on a pc.
Once logged in in the top right click on your profile picture in the drop-down menu look for “settings and privacy”

In next menu click settings.

Now on the left-hand side look for “Your Facebook Information”

Now in the middle look for “download your information” and click “view”

On the next screen You will select date range. Leave all other settings as they are.

Below you can select only specific types of data if you are after just messages or just post make sure that the appropriate check box is checked.

Scroll all the way to the bottom of the page and hit request download. If the request a download option is grayed out, you may not have selected the date range.

Once you hit request, you will see a notification that a copy of your information is being created.

Scroll back to the top of the page and look for “available files”

It may take several minutes for the download to be complete and ready for you to get a copy but once the download is ready you will download it like any file from the internet. It is important to note that the file will only be available for a few days before it expires. If you lose your downloaded information for some reason you will need to request a whole new download.

Once you have downloaded the files. The file structure is quite easy to understand you will find Folders with names involved in the conversation and it will display in a browser window to allow you to scroll through all the messages that have ever been sent between you and the other party.