Contact is a class, so like any other class it needs an instance in order to work out exactly where to put it.
If you were talking about cars, it would be clearer: your code is saying:
"Put these gloves in the cars glove box."
Unless you specify which car you are talking about (my car, your car, the brown car over there) you can't put anything in it's glovebox.
You need to refer to an instance of Contact:
Contact myContact = new Contact();
...
myContact.FirstName = tbFirstName.Text;
There are ways to make the compiler put data in a location which is available to all Contacts, but you definitely don't need that at the moment!