I have already posted how to download your Facebook Albums in .zip package and with that earlier method you were able to download your friends images too just using that online service, but if you need an alternate way to download your images right from your desktop than, I am sharing a software called PhotoGrabber.

How to use PhotoGrabber Desktop Application :

1. Download PhotoGrabber Desktop client for Windows or Mac.
2. Now just sign in with your Facebook Account and then you have to allow this application to access your Facebook data.
3. Now you will see all the albums listed in this application. Just choose which ones you wanna download and then hit Begin Download.
4. Now downloading will start and you will get all your albums right on one folder on your desktop.