Last & First SQL aggregate functions

I'm trying to migrate an app. from Access to SQL Server, and find that Transact-SQL does not support LAST/FIRST functions.  Is there any alternative to these?

Below is the Access SQL statement:

SELECT Last(tblZoneNameString.Val) AS strZoneName, tblZoneNameString.TagIndex
FROM tblZoneNameString
GROUP BY tblZoneNameString.TagIndex
HAVING (((tblZoneNameString.TagIndex)>0));