What is the point of saving a copy? You can't use it in a court of law. A copy can easily be a result of a photoshop. You can't use it against her personally. If she refuses to acknowledge the conversation, this isn't going to change her mind.
I'm no lawyer, but I hear news stories of people going to jail or getting sued based on evidence on Facebook, MySpace, and other social networking sites. If that's FFB's angle, then he can probably have his lawyer subpoena Facebook for posting records.
A copy is not a bad thing to have, can't be too careful. And FFB, I am sorry you are having to go through this.....you and your son do not deserve it. DD™
File -> Save As... Oh, and don't forget to post it here. Didn't want this to get lost at the bottom of the page.