You can easily set the combo box to display multiple columns (check out the ColumnCount and ColumnWidths properties). That would take care of displaying both fields at once.
I would recommend against storing both the first and last names in your table. I would instead store an identifier (such as EmployeeID, etc) in the table that allows you to look these up on the fly. That way, when Cindy Jones gets married and is now Cindy Smith, you only need to change her name in the one table, and it gets updated through every record. Similarly, if Charles starts going by the name Chuck, you can easily adjust his information.