Curious thread this, I'm by no means an expert, Mariposita seems better informed but my experience as someone in this situation may help you.
I'm English, my full name is Graham Colin Homewood. I have the Spanish residency card which as a European was a formality, not sure what your situation is. Anyway, basically when I applied I had to give copies of my passport etc (and fingerprint) and at no stage was offered any choice as to what name went on it. Thus when it was received it said simply Graham Colin Homewood.
What has happened is exactly what Mariposita says, I am now Mr Colin Homewood, or Mr Colin as it is always the first 'surname' that takes on more importance. This personally doesn't bother me and correcting people tends to cause only confusion, whereas accepting it leads to everything running smoothly. Furthermore, both Graham and Homewood are difficult for non English speakers, whereas Colin appears to have been something to do with bread
(spaniards can assist with an explantion of this maybe) and is easily handled.
Double first names are no problem, many many people here have them.
By the way, I also believe that anyone can change there name at any stage if they really want to. It may not be easy, but it can be done.