Open Facebook Messenger and play the audio message
Set your computer’s audio output to the speakers you want to capture
Open Audacity
In Audacity, select the correct recording device
Set the recording channels to Stereo or Mono as needed
Turn on software playthrough only if necessary
Click the red Record button in Audacity
Play the Facebook Messenger audio message
Let the audio finish playing completely
Click the Stop button in Audacity
Trim any silence or unwanted parts if needed
Use the playback controls to check the recording
Go to File
Choose Export
Select the desired audio format
Save the recorded audio file to your computer