This can be challenging, since you will have to return to the U.S. Embassy or Consulate that issued the visa stamp. This should have been corrected when the visa was issued. As a result your first name may be FNU to a State driving facility unless you can speak to a supervisor and show them your passport's identity page. You can also show them the USCIS fraud proof approval notice for your visa stamp, where you have one. Perhaps, they will realize the mistake and take appropriate action.
This is something that some state facilities should appreciate. Perhaps, you should go to a different facility. If you have trouble, then politely ask for a supervisor. Perhaps, the second trip to a difference office will be the charm. If not, you may need to get your visa replaced on your next trip to your home country if that is where you got the visa.
The above is general information and does not create an attorney-client relationship.
When you say your "visa" -do you mean the visa stamp in your passport or the approval notice issued by USCIS?
If the USCIS approval notice, you would need to file an I-824 Application for Action on an Approved Petition to get USCIS to correct the error. There would be no filing fee, assuming that your name was entered correctly on the forms originally filed and it was therefore an actual USCIS error. Problem is, these take anywhere from three to five months or more for approval.
If you mean the visa stamp, there may be no way to fix this but to go back to the consular post which issued the visa.