Welcome to Android Central! Use your file manager to look for the downloaded files in the phone's storage. Make sure you use the file manager's Explore option -- don't just select the Downloads category.
When exploring, look first in the /Download directory. If it's not there, then start looking through other directories -- Facebook might create its own data directory where downloaded files go. It might be a subdirectory of the /Android directory, and if you don't see "Facebook" there, then also look for "katana" or "orca," which are codenames for Facebook apps.