You should form the command with the contents of the textboxes:
sql = "insert into Main (Firt Name, Last Name) values(" + textbox2.Text + "," + textbox3.Text+ ")";
This, of course, provided that you manage to open the connection correctly.
It would be helpful to know what's happening with your current code. If you are getting some error displayed in that message box, it would be great to know what it's saying.
You should also validate the inputs before actually running the command (i.e. make sure they don't contain malicious code...).