While we are more than willing to help those that are stuck, that doesn't mean that we are here to do it all for you! We can't do all the work, you are either getting paid for this, or it's part of your grades and it wouldn't be at all fair for us to do it all for you.
So we need you to do the work, and we will help you when you get stuck. That doesn't mean we will give you a step by step solution you can hand in!
Start by explaining where you are at the moment, and what the next step in the process is. Then tell us what you have tried to get that next step working, and what happened when you did.
I'd start by thinking about what you need to do: instead of a list of strings, I'd create a Student class, and create a collection of those. Give it firstname and surname properties, and get it to separate each student name input (which I'd suggest should come from a file rather than use input - your assignment does suggest this). Then it's simple: Linq methods include OrderBy and ThenBy which will do what you need.
If you are having problems getting started at all, then this may help: How to Write Code to Solve a Problem, A Beginner's Guide