Gravity Forms notifications are set up in the individual settings of each form. Under notifications, select Admin Notification (the default).
The Send to Email should be set to the email addresses the form should go to.
From Name can be set from the drop down to the right. The First Name should be selected, then a space, then Last Name.
From Email should be set to something like wordpress@<site URL>.
Reply to should be set to the user’s Email address (again, in the right hand dropdown).
BCC to admin email address.
Subject remove all but New Submission Form and add First Name , then a space, then Last Name, as before.
If this form is in a sidebar, add Embed Post/Page Title into the Message.