Here have an example with XML based on your result. Now you can put your query inside of a CTE and apply this solution to the result.
declare @tbl as table (
    txtFullName varchar(15)
    ,firstActivity varchar(15)
)
insert into @tbl values ('Joe Bloggs', 'Football')
insert into @tbl values ('Joe Bloggs', 'Tennis')
insert into @tbl values ('Katie Bloggs', 'Tennis')
SELECT
    txtFullName
    ,STUFF(
        (SELECT ', ' + firstActivity
        FROM @tbl
        WHERE txtFullName = a.txtFullName
        FOR XML PATH(''),TYPE).value('.','NVARCHAR(MAX)'),1,1,'') AS firstActivity
FROM @tbl a
GROUP BY txtFullName
UPDATE:
SELECT
    t0.txtFullName AS 'Name'
    ,t1.[FirstActivity]
FROM (
    SELECT txtFullName FROM tblMembers WHERE txtForm = '10'
) T0 
LEFT JOIN (
    SELECT
        txtFullName
        ,STUFF(
        (SELECT ', ' + txtName
        FROM tblLists
        INNER JOIN tblAllLists
            ON tblLists.intID = tblAllLists.intID
        INNER JOIN tblMembers
            ON tblAllLists.instuiID = tblMembers.instuiID
        WHERE txtFullName = M.txtFullName
        FOR XML PATH(''),TYPE).value('.','NVARCHAR(MAX)'),1,1,'') AS firstActivity
    FROM tblLists
    INNER JOIN tblAllLists
        ON tblLists.intID = tblAllLists.intID
    INNER JOIN tblMembers M
        ON tblAllLists.instuiID = M.instuiID 
    WHERE txtDay = 'Mon' AND txtForm = '10' AND txtDesc='Norm'
    GROUP BY txtFullName
) T1
    ON t0.txtFullName = t1.txtFullName