Yes, you need define it as a TABLE CHECK CONSTRAINT
(not against the UNAME column, as it refers to other columns in the same table) as follows:
CREATE TABLE User
(
UNAME VARCHAR(100),
FNAME VARCHAR(100),
LNAME VARCHAR(100),
CONSTRAINT CHECK_USERS
CHECK(INSTR(UNAME, FNAME) = 0 AND INSTR(UNAME, LNAME) = 0)
)