Facebook introduced their new version of Photo album displayer, which makes downloading / saving an image difficult. There is no direct way to save the image on to your PC / Laptop / Desktop. However, there is a work around to save the pictures if you want to.
For this, you have to first revert back to old photo album viewer in Facebook. Once you revert back to the older version, right click on the image, select Save As and save the image in the location where you want to.