There are multiple bands by this name.
1) A melodic power metal band from the 1980's - Official Website: http://www.BansheeRocks.com
2) The solo recording project of Eli Guterman, a college student in Vermont
3) A Polish Celtic/folk group. Official website: www.banshee.art.pl/en
4) A US Black Metal band, based in New Mexico.
5) A Canadian Alternative/Goth/Metal Band (a demo cd is in production)
6) A french gothic metal…