Your band name is generally not entitled to copyright protection.
Depending on how it is used, your band name may be entitled to trademark protection. Your band name cannot be "trademarked" in any abstract sense. In order to be entitled to trademark protection, your band name must be used as a trademark (i.e., in commerce as a source of goods or services).
For example, a band name may function as a service mark for entertainment services in the nature of performances by a musical group if it is used to identify and distinguish the service of providing live performances (see TMEP §1301.02(b)), or as a trademark for a series of musical recordings (see TMEP §§1202.09(a) et seq.).
A link to the TMEP is below. You can look up my citations there for more detailed information.
http://tess2.uspto.gov/tmdb/tmep/
If your band name is important to you, I strongly suggest you speak to an attorney who specializes in entertainment law. Given your inexperience in this area, you run the risk of forfeiting rights to your name if you do not act properly.
I'm an attorney.
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