You didn't provide enough information (PDF version, how the script get trigger, etc...), I'm guessing you misplacing the script somewhere. Also make sure textbox with First.Name and Last.Name exists.
In Edit Form View, right click the Full Name Textbox, select properties, click on the Calculate tab, select Custom calculation script, Click on Edit... and paste in your scripts
var s1 = getField("First.Name").valueAsString;
var s2 = getField("Last.Name").valueAsString;
event.value = s1 + " " + s2;
After that, click OK and Close. GO back to form preview, change the value in First.Name or Last.Name textbox, then click somewhere on the form, the full name field should change based on the combination of First.Name and Last.Name value.