Here have an example with XML based on your result. Now you can put your query inside of a CTE and apply this solution to the result.
declare @tbl as table (
txtFullName varchar(15)
,firstActivity varchar(15)
)
insert into @tbl values ('Joe Bloggs', 'Football')
insert into @tbl values ('Joe Bloggs', 'Tennis')
insert into @tbl values ('Katie Bloggs', 'Tennis')
SELECT
txtFullName
,STUFF(
(SELECT ', ' + firstActivity
FROM @tbl
WHERE txtFullName = a.txtFullName
FOR XML PATH(''),TYPE).value('.','NVARCHAR(MAX)'),1,1,'') AS firstActivity
FROM @tbl a
GROUP BY txtFullName
UPDATE:
SELECT
t0.txtFullName AS 'Name'
,t1.[FirstActivity]
FROM (
SELECT txtFullName FROM tblMembers WHERE txtForm = '10'
) T0
LEFT JOIN (
SELECT
txtFullName
,STUFF(
(SELECT ', ' + txtName
FROM tblLists
INNER JOIN tblAllLists
ON tblLists.intID = tblAllLists.intID
INNER JOIN tblMembers
ON tblAllLists.instuiID = tblMembers.instuiID
WHERE txtFullName = M.txtFullName
FOR XML PATH(''),TYPE).value('.','NVARCHAR(MAX)'),1,1,'') AS firstActivity
FROM tblLists
INNER JOIN tblAllLists
ON tblLists.intID = tblAllLists.intID
INNER JOIN tblMembers M
ON tblAllLists.instuiID = M.instuiID
WHERE txtDay = 'Mon' AND txtForm = '10' AND txtDesc='Norm'
GROUP BY txtFullName
) T1
ON t0.txtFullName = t1.txtFullName