Windows Live Messenger has made it damn easy to find photo albums of your friends in Facebook. Look at the screenshot below :
To get this on your Live Messenger first get the beta from here and then connect your Live Messenger with Facebook. To do this look for a Add Button on Right Bottom corner of your messenger and then click on Facebook.
Once you have connected, just hover your mouse over any of the contact and if they are on Facebook, you will see View Photos and Profile link over there. Apart from this Facebook connection will update all your friends contact in Live Messenger which is very useful feature.