If you want to loop through a series of XML elements in an XSLT stylesheet and group by more than one element (for example, the combination of <first_name> and <last_name> elements), use the concat function to create a 'virtual key':

<xsl:for-each-group select="row" group-by="concat(First_Name, ' ', Last_Name)">
    <xsl:variable name="theKey" select="current-grouping-key()"/>
<xsl:for-each-group>