Views - Combining Fields into a single link?
You can add the 4 fields in this order:

nid
first name
middle name
last name

For the first 3 fields, check the "Exclude from display" checkbox.

For the 4th field, in the rewrite results section, check the "Rewrite the output of this field", then in the "Text" text area use the replacement patterns for the other fields to join them together.

It will be something like this:

[field_first_name] [field_middle_name] [field_last_name]

Then also check the "Output this field as a link" checkbox and for the "Link path" you can again use the replacement patterns (expand the fieldset to see the available replacement tokens).

It will be something like:

node/[nid]