Select 
*
From Parent P1
LEFT JOIN Parent P2 on P1.Id=P2.ParentId

--==CONDITIONALLY DROP THE SAMPLE DATA TABLE==--
IF object_id('tempdb..#yourSampleData') IS NOT NULL
BEGIN
    DROP TABLE #yourSampleData;
END;
--==FILL THE SAMPLE DATA TABLE WITH THE DATA THAT YOU HAVE SPECIFIED==--
SELECT Id, LastName, FirstName, Gender, ParentID
INTO #yourSampleData
FROM (VALUES(1,'Jones','Bob','M',NULL),(2,'Allen','Larry','M',NULL),
            (3,'Martins','Mary','F',NULL),(4,'Martins','Charles','M',3),
            (5,'Martins','David','M',3),(6,'Martins','Shirley','F',3),
            (7,'Martins','Noxy','F',6)
      )a(Id, LastName, FirstName, Gender, ParentID);

SELECT main.Id, main.LastName, main.FirstName, main.Gender,
ISNULL('parent name ' + outerA.FirstName,'have no parent')
FROM #yourSampleData main
OUTER APPLY (SELECT innerQ.FirstName 
             FROM #yourSampleData innerQ
             WHERE innerQ.Id = main.ParentID) outerA;

SELECT main.Id, main.LastName, main.FirstName, main.Gender,
ISNULL('parent name ' + outerA.FirstName,'have no parent')
FROM #yourSampleData main
LEFT OUTER JOIN #yourSampleData outerA ON outerA.Id = main.ParentID;

Id          LastName FirstName Gender 
----------- -------- --------- ------ -------------------
1           Jones    Bob       M      have no parent
2           Allen    Larry     M      have no parent
3           Martins  Mary      F      have no parent
4           Martins  Charles   M      parent name Mary
5           Martins  David     M      parent name Mary
6           Martins  Shirley   F      parent name Mary
7           Martins  Noxy      F      parent name Shirley