Hello Digital Dad. To avoid the Facebook Messenger desktop app on Windows 10 from opening links in Microsoft Edge and instead wanting to open them in your default browser (such as Firefox) the best solution is to make sure Messenger settings open links externally and you have Firefox set as the system default browser. First, go to Settings > Apps > Default apps and make sure that Firefox is selected under "Web browser." Next, go back to the Messenger app, and click on the profile icon, go to Settings > Photos & Media, and toggle "Open links in external browser" to On--this will make sure it opens in your selected browser not in Edge. If you are using the app from the Microsoft Store, it may be tied to only Edge, if this is your situation, you may uninstall the app.
Here's the reference: Enable/Disable External Browser Links in Messenger
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Please let me know if you have further questions.
Best regards,