Where do you see this label? Here are a couple of ways to download an image on Facebook to your Documents folder. (1) Try Firefox's right-click > Save Image As option. If that is available, choosing it should display a dialog that lets you select your Documents folder. Some sites block that option by placing a transparent element in front of the image, or by loading the image as the background for an empty element. In that case, it's a little trickier, but more on that if needed. (2) In Facebook's theater-style display (the overlay that pops up when you click a photo in your news feed), the Options button overlaid over the bottom of the photo should include a Download item. Similar to Save Image As, clicking that should display a dialog that lets you select your Documents folder. Do either of those work for you?