You can certainly use tokens in a URL, and that is the proper syntax for First Name. What was the specific error that you received?
It could be either:
@Leah G Where in Marketo are you building the URL? If you are building within an email template, I've seen issues with copy/paste. So you can go back in and modify the HTML to often fix issues. The following URL does work for me within an email template.
http://info.companyname.com/{{lead.First Name}}{{lead.Last Name}}.html