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Click it and select the type of content you want to download from your Facebook account. If you want to download everything (this will take a very long time), leave the selection on All. For the purposes of this guide, I'm choosing Info Updates because it doesn't contain a lot of data.
Scroll to the bottom. I don't mean choose the month you joined Facebook. I mean literally scroll all the way down, making sure that everything loads in your browser.
Once everything is loaded, you'll want to save it with your browser. In Chrome, click the wrench icon and choose "Save page as..." In other browsers, look for a similar option in the "File" menu or equivalent.