It seems to me that it doesn't know what "EXISTS" since the subquery is selecting everything.

Since you only want the Firstname matches, maybe try this?

SELECT Member.FirstName FROM Member ;
> WHERE EXISTS ( SELECT Firstname FROM New ;
> WHERE Member.Numero = New.NoMember2 ;
> OR Member.Numero = New.NoMember3 ;
> OR Member.Numero = New.NoMember4)