First, you have to use what's on your passport. Some countries have a “full name” field, which does need to be converted in some way, but many have a “surname” and a “given names” field, which can be assimilated to “last name“ and “first names“ even if some of their citizens actually have other types of names (mononym, patronym, “post names”…). Thus, in Iceland, the patronym is used as “surname“ even though it is not a “last name“ or “family name“.
If that's your case, you can simply use the “surname“ as “last name“ and the “given name“ as “first name“, even if that's not the way you usually think about your name. Asking for “middle names“ isn't particularly common, possibly even peculiarly American. I would just leave that empty. As long as the names on the visa matches those in the passport, you won't have any problem as far as travel is concerned.
Otherwise there are common tricks that should be pretty safe like putting your full name in both fields or putting the full name in the “last name”/“surname” field and something like “+“ in the “first name” field. The US uses another convention, putting “FNU” (for “first name unknown“) in the “first name” field.
Some of these tricks can create (usually surmountable) difficulties in other situations, e.g. when registering as a resident, marrying or having children abroad, getting citizenship or doing anything that requires a birth certificate, but they should at least work fine for visas and travel purposes.