Depends on what sort of band. If it's any kind of 'electric' band, such as a rock band or even a folk band, then a curtain-sided lorry trailer would be best. You need to try a trailer or transport hire company, and you should be able to find one in yellow pages. You'll also need to arrange for someone to get it onto site. Depending on the size, it may need a driver with a C class licence.
A brass or wind band, I can tell you from experience, will be quite happy with an open-sided gazebo or small marquee. Just a bit of shelter from the rain and/or sun is all they'll ask - that and half-time drinkies.