If the first name is in column A, and the last name is in column B, you can use this:
Sub test2()
Dim i&, lastRow&
lastRow = Cells(Rows.Count, 1).End(xlUp).Row
For i = 1 To lastRow
Workbooks.Add
ActiveWorkbook.SaveAs ("C:\Users\[user name]\Desktop\" & Cells(i, 1) & " " & Cells(i, 2) & ".xls")
ActiveWorkbook.Close
Next i
End Sub
Change the file path and extension as needed. It will save with the name FirstName LastName.xls
as I have it.
Edit per comments below:
To make a new text file, and fill with the contents in column C, use the below (thanks to @Ben)
Sub create_TXT()
Dim fso As Object
Set fso = CreateObject("Scripting.FileSystemObject")
Dim oFile As Object
Dim i&, lastRow&
lastRow = Cells(Rows.Count, 1).End(xlUp).Row
For i = 1 To lastRow
Set oFile = fso.CreateTextFile("C:\Users\[user name]\Desktop\" & Cells(i, 1) & " " & Cells(i, 2) & ".txt")
oFile.WriteLine Cells(i, 3).Value
oFile.Close
Next i
Set fso = Nothing
Set oFile = Nothing
End Sub