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Here is the Notifications menu. Clicking on anything will open up your browser and take you to Facebook.
Here is Facebook Messenger for Windows docked on the right-hand side. This feature makes Facebook always visibile on your screen, regardless of whatever else you are doing on your desktop.
Last but not least, here is the app's taskbar icon, the notification icon, and the right-click menu.
See also: Facebook Messenger for Windows leaks by Emil Protalinski