Unlike facebook you can not directly upload an image as your profile picture.
Instead you have to paste your pictures URL into the specified box in settings.
To create a URL for the profile picture you want you can simply POST the picture on your blog first.
This creates a URL.
I will run you through a step by step guide to transferring your profile picture from facebook to STEEM.
Go to your profile picture on facebook and click options on the bottom right hand corner of the picure
click download
On your steem blog click POST
Where it says "Insert images by dragging & dropping, pasting from the clipboard, or by selecting them." click on selecting them
Go to your downloads folder and select your profile picture you downloaded from facebook
POST!
Go to your post and right click the image you uploaded and click "Copy image address"
Go to STEEM settings and paste into the "profile picture URL" box
