Hi there,
it depends on the very name of a band, if it contains "the" you must use it, if it doesn �t, you can �t use it, otherwise you can use, by mistake, a name of some other band, for instance:
Jim listens to The Cure, Dire Straits, Mu�m, Sigur R�s and The Explosions In The Sky.
(If you say: Jim listens to Cure .... , it might mean a small local band who collect money for helping cure cancer disease, their name is CURE but it�s not The Cure with the vocalist Robert Smith. Among The Cure fans, however, it�s popular to say "Cure" when referred to The Cure, but everyone knows the very reference.)
However, if a musical group doesn�t have any particular name, we tend to use the definite article, as in the example:
Last night we saw the Russian Patriarchate choir of Moscow in the cathedral.
We use "the" as the choir is unique in the world and the Russian Patriarchate of Moscow does not have any other choir.
And even if we mention a group/band with a foreign name, we don�t use the article as it�s their unique name, and in a foreign language it can already contain an article of which we might not know, as in this example:
Jim�s wife loves listening to Il Divo.
