I have the same thing on my forum, except it is DOB, gender and country that are required.
on or about line 1198 of my pop_profile.asp page is where i added the changes.
Look for the lines:
if trim(Request.Form("Name")) = "" then
Err_Msg = Err_Msg & "<li>You must choose a UserName</li>"
end if
and add the first name last name code that you added to register.asp page, after this code.