There is a tutorial about making a desktop shortcut for Facebook with Google Chrome but now you can feel the Facebook Desktop application with Adobe AIR. So, before installing this, you need Adobe AIR runtime environment first.
The installation process is easy. After you install Adobe AIR, then install the Facebook Desktop. When you launch the application, you will be asked about some privacy settings such as you may allow other friends to see you inside it or you can share your status and news feed from it.
However this application still lacks of features such as display photos of your friend, play facebook app and etc.