This will not only help you recover deleted messages, but also posts that once appeared on your Facebook wall. To retrieve the message, do the following:
Step 1: Sign in to your personal Facebook account.
Step 2: Click the arrow icon to the right of the Facebook interface, select Settings, then go to General Account Settings.
Step 4: Click the Download Information option, select Messages, and then click the Create File.
The system will take some time to process the information, when the data backup process is complete you will receive a message to start downloading the file.
Click the message and click the Download button next to the file you want to download.
Facebook will then ask you to enter your password to start the file download process, but still make sure your information is confidential. After entering your password, you’ll be sent a Facebook email, go to gmail and find the Facebook email. There will be a link to download personal data from Facebook.
After downloading, use Winrar to extract the file, and then navigate to the directory that contains the data, locate the file named Messengers.htm. Open the file and you can review your entire Facebook message history.