Welcome to WiiChat Lisi.
I don't have Band Hero but I can tell you how to normally connect your Wii remotes.
There are 2 ways to do this, one is permanant in that you wouldn't have to keep reconnecting them each time you play, the other is temporary.
Permanant - Remove the battery cover from the Wii remote, you will see a tiny red button below where the batteries go. Open the little flap on the front of the Wii and you will see a square red button. Press the square red button on the Wii and then the little red button on the Wii remote. It will flash and then one of the indicators will stay lit, either 1,2,3 or 4 to show what remote number it is. The advantage of this way is that now whenever you play a multiplayer game it should automatically detect the remotes that you are using.
Temporary - Press the 'home' button on the first remote. It'll go to the black screen with options on it. Point and click where it says 'reconnect remote', then press 1 and 2 on each remote that you want to connect. After they've connected just close the menu. The advantage to this method is that you can add remotes at anytime, even when in a game.
Hope that helps.