I should think you would download the pics to your PC, then upload separately to Facebook. However, you may be using a file folder for receiving transferred files in messenger. You need to find this path in the messenger settings, open and use that as the upload folder to Facebook.
As default messenger downloads received files to a folder called my received files in your main user directory. so if somebody has sent you the pictures use the picture upload on facebook and browse to your user folder/my received files and you should find them there.