Listing first name, last name at Users listing page I have installed and configured User Profile module, which allows me to add fields like First Name, Last Name for users.

As of now, when I go to users list at /admin/user/user I see username column. How can I can add these extra fields in the column?
I suggest using Administration views module which will replace all administration overviews, e.g. the list of users, with actual views. You will then be able to add any field you have attached to user profiles to your overview as well. This will work for both Drupal 6 and 7.