These types of puzzles are known as charades. What you have to do is to find two words that are referred to in the first stanza and the second stanza and put them together to form the third word in the third stanza.
Just for example, if my first refers to 'off' and my second refers to 'ice', then my whole will be the 'office'.
My first is present - future's past -
A time in which your lot is cast.
My second is my first of space
Defining people's present place.
My whole describes a lack of site -
A place without length, breadth, or height.
I came first on earth but second on the heaven.
I also came twice in a week but found just once in a year.
I stay away from months but you can find me in February.
In 2007, a puzzle was released and $2 million prizes were offered for the first complete solution. The competition ended at noon on 31 December 2010, with no solution being found. Wiki