LDAP has good example of how to deal with this situation: they always use the
word "given name" and "surname" instead of "First Name" and "Last Name".

What should user fill in "First Name" if their surname in their culture is
placed before their given name?

Further the UI for entering user profile data (Option dialog) should be
re-organized in this way:

+-----------------+----------------------+
|Surname:   ____  |   Country:      _____|
|Givenname: ____  |   Organization: _____|
|                 |                      |

Instead of 

+-----------------------------------------------------+
|Organization: ____________________________________   |
|First Name/ Last Name / Initial: _____ / _____ / ___ |
|                                                     |

The purpose of this is to de-emphasize the order of different parts of the name.
If we only replace "Surname" with "Last Name", "Given Name" with "First Name", a
Japanese, for example, still feel uncomfortable when he sees his "Given Name" is
placed before his "Sur Name" in the same line. He will not feel uncomfortable if
they are in two different lines (so no order issue). This is probably the only
way acceptable to cultures with different name orders.