It's not really possible to do if using just the simple String class. You'll either have to create a method to parse it out or create your own object type that will do the parsing. Either way, it requires that you write code to parse out that data.
If you need some help with parsing of the data, using your above example, it's simple enough to parse.
Dim s As String = "First Last"
Dim names() As String = s.Split(" "c)
Dim firstName As String = names(0)
Dim lastName As String = names(1)
I'm also not sure what your MyData object is. You could put a parsing routine in that object to automatically parse the name and set the properties as needed. It could even be part of the constructor.
Public Sub DoWhateverINeedToDo()
Dim md As New MyData(My.Settings.ClientName)
Console.WriteLine("First Name: " & md.FirstName)
Console.WriteLine("Last Name: " & md.LastName)
End Sub
Public Class MyData
Public Property FirstName As String
Public Property LastName As String
Public Sub New(ByVal fullName As String)
Dim names() As String = fullName.Split(" "c)
Me.FirstName = names(0)
Me.LastName = names(1)
End Sub
End Class