MySQL does not support computed columns or expressions in the DEFAULT option of a column definition.
You can do this in a trigger (MySQL 5.0 or greater required):
CREATE TRIGGER format_stage_name
BEFORE INSERT ON actors
FOR EACH ROW
BEGIN
NEW.stage_name = CONCAT(NEW.forename, ' ', NEW.surname);
END
You may also want to create a similar trigger BEFORE UPDATE.
Watch out for NULL in forename and surname, because concat of a NULL with any other string produces a NULL. Use COALESCE() on each column or on the concatenated string as appropriate.
edit: The following example sets stage_name only if it's NULL. Otherwise you can specify the stage_name in your INSERT statement, and it'll be preserved.
CREATE TRIGGER format_stage_name
BEFORE INSERT ON actors
FOR EACH ROW
BEGIN
IF (NEW.stage_name IS NULL) THEN
NEW.stage_name = CONCAT(NEW.forename, ' ', NEW.surname);
END IF;
END