This will not only help you retrieve the deleted messages but also the posts that once appeared on your Facebook wall. To retrieve the message, do the following:
Step 1: Log in to your personal Facebook account.
Step 2: Click the arrow icon on the right of the Facebook interface, select Settings and then navigate to General Account Settings.
Step 3 : Select Your Facebook Information.
Step 4: Click the Download your information option, select Messages then click Create file.
It will take a certain amount of time for the system to process the information, when the data backup process is complete you will receive a message to start performing the file download.
Click on the message and click the Download button next to the file you want to download.
Next, Facebook will ask you to enter the Password to start the file download process but still ensure your information is confidential. After entering the password, an email from Facebook will be sent to you, go to your Gmail and find the email from Facebook. There will be a link to download Facebook personal data.
After downloading, use Winrar to extract the file, then go to the directory containing the data, find the file named Messengers.htm. Open the file and you can review your entire Facebook message history.