Facebook emoticons can be used in Facebook Chat conversations. You can find many on these pages, and copy most of them by simply clicking on "Copy" link located by the emoticon you need or like.
To use emoticons stored in your clipboard, paste them into FB chat or your IM by using CTRL+V or Right click, then "Paste".
For those that cannot be copied by click only, mark them using your mouse, and copy them to clipboard. You can do that in two ways (after you make selection):
a) Right click on selected emoticon and choose "Copy". When you get back to FB Chat, right click in text form again and choose "Paste".
b) When you mark desired emoticon, press CTRL+C on your keyboard, then when you need to paste that back into dialogue window by pressing CTRL+V.