Other than using something like VideoDownload Helper, there are two ways to save a video from Faceb, one easier than the other. One is to go to the page where the video is, then change the URL to the mobile version of FB by changing the www to m. Then when that page shows up, start the video playing and then right-click on it and choose "Save As..."
The other way: plug the video's URL into FBdown.net.