LG

So on my old Sony Erikson, I was able to save friends pics from facebook on my phone. I haven't found a way to save them on this phone yet. Also, I had several free sites that would direct you to mp3 ringtones and my sony would automatically ask me if I wanted to download. On the triton, it just plays the mp3, and I haven't figured out how to save it.

Anybody know what I'm doing wrong?

I don't think you are doing anything wrong... It's more the capabilities of the Browser and what the carrier will allow. Some Carriers lock the phone down so that they can capture that revenue stream for music and other downloadable content... So that might explain notbeing able to save Music from a link if you don't see a Save or Set As option in the menu of the browser. If that is blocked possibly the downloading of Facebook Picts might be effected as well.
You're sure there isn't a "Save" or "Set As" option in the Browser menu?