To get the value you can use the Item property of the DataGridView. It will take two parameters, the first parameter is the column index and the second parameter is the row index. The indexes will start at 0.
Lets say that column index 3 holds the first name, so you will set the column index to 3 and then to retrieve the row index of the selected row you can use the CurrentCell.RowIndex property to get the row index. Now use the Value property to get at what is stored in the cell at that column and row, Value returns an object so you will need to cast it to a string, depending on how you are using it.
The same logic will apply to getting the last name, you will just need to change the column index to get that specific value. Naturally you would be storing the value returned in a variable, TextBox, etc.
CODE
Me.DataGridView1.Item(3, Me.DataGridView1.CurrentCell.RowIndex).Value.ToString
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