How do I get the first name and last name of the logged in Windows user?

If you’re using .Net 3.0 or higher, there’s a lovely library that makes this practically write itself. System.DirectoryServices.AccountManagement has a UserPrincipal object that gets exactly what you are looking for and you don’t have to mess with LDAP or drop to system calls to do it. Here’s all it’d take:

Thread.GetDomain().SetPrincipalPolicy(PrincipalPolicy.WindowsPrincipal);
WindowsPrincipal principal = (WindowsPrincipal)Thread.CurrentPrincipal;
// or, if you're in Asp.Net with windows authentication you can use:
// WindowsPrincipal principal = (WindowsPrincipal)User;
using (PrincipalContext pc = new PrincipalContext(ContextType.Domain))
{
    UserPrincipal up = UserPrincipal.FindByIdentity(pc, principal.Identity.Name);
    return up.DisplayName;
    // or return up.GivenName + " " + up.Surname;
}

Note: you don’t actually need the principal if you already have the username, but if you’re running under the users context, it’s just as easy to pull it from there.