Have you added rules to the button? To add rules to a button, you can right click the button while in design mode and select Button Properties. In the properties window is another button that says Rules. Click that. Then click Add to add a rule. Give the rule a name. Then, add an action by clicking Add Action. Under Action, select Query using a data connection. Your data connection is probably called 'Main Data Connection'.
Next, be sure that the 'Last Name' and 'First Name' fields you have on the form are connected to the respective query data fields in the main data source. In the Data Source Task Pane, look in the folder that says 'query'. Find the Last Name and First Name fields, and drag them onto the form. In preview, fill out the query fields, and then click your button, see if you get what you'd expect back...