The Close event is too late in the Form closing series of events.
Use the Form's Unload event. You can Cancel the unloading and set
focus where ever you wish.

Private Sub Form_Unload(Cancel as Integer)
If IsNull(Me.FirstName) Or IsNull(Me.LastName) Then
       If MsgBox("Do you want to Edit Member Information now?",
vbQuestion & vbYesNo, "Question") = vbYes Then
        Cancel = True
            Me.[FirstName].SetFocus
       End If
End If
End Sub

First, you need to move the code to the Form UnLoad event.  The close event
is too late and can't be canceled.  The form will just close.

Private Sub Form_UnLoad(Cancel As Integer)
Dim strCtl As String
Dim blnCancel As Boolean

   If IsNull(Me.FirstName) Then
       blnCancel = True
       strCtl = "FirstName"
   End If

   If IsNull(Me.LastName) Then
       blnCancel = True
       strCtl = "LastName"
   End If    

   If blnCancel Then
       If MsgBox("Do you want to Edit Member Information now?", vbQuestion &
vbYesNo, "Question") = vbYes Then
           Me.Controls(strCtl).SetFocus
           Cancel = True
       End If
   End If
End Sub