Ultimately yes you should be able to. Long story short, if they put it on your FB wall it is likely a YouTube video. If so, you'll need to get a free piece of software and download the video to your desktop. If it comes over as a Quicktime video or MPEG from the download you can then simply put it in your video folder and sync it to your phone. If it is of lower quality and downloads as an FLV file, you'll need to use a converter to get it in to an MPEG format before you can sync it.