Harry,
This also works for me:
{ Mergefield First_Name }{ Mergefield Middle_Name \b " " } { Mergefield
Last_Name }

Using the "before" (\b) switch. And using the spacing that Graham has stated
already.

For prefixes such as Mr., Mrs., Ms., I have a column named "Prefix". The line is
set up lile this:

{ Mergefield Prefix \f " " }{ Mergefield First_Name}{Middle_Name \b " " } {
Mergefield Last_Name }

Using the "after" (\f) switch. Also using the spacing that Graham has stated
already.

{Mergefield First_Name}{IF {Mergefield Initial} <> "" " {Mergefield
Initial}"} {Mergefield Last_Name}

Note the space at
" {Mergefield Initial}"}
and before
{Mergefield Last_Name}
No space after
{Mergefield First_Name}