Set up cameras to capture the live show. You want enough cameras to show the band up close as well as the audience. These camera should be run by professionals and include cameras that move, whether by hand or on motorized tracks.
Ensure the recording you use for the audio track is ready to go. You want to use sound-board recordings of the songs on that night so the video and audio are in perfect sync.
Test the shots you have before the show starts to see what angles are covered. Practice the song cues and ensure the cameras are in the correct places at the correct times. Make sure the lighting is ample and adjust as necessary.
Speak with the band or artist and their management to see what they want accentuated and how they want to appear. A band may want a tight shot on any member that is soloing or whose particular part is important to the song. Dancers or other performers may need the cameras on them during certain sections of the performance.
Edit the video using the multiple cameras and send to the management or artist for approval. A program like Sony's Vegas or Adobe Premiere can be used for editing. There are many ways to interpret a live show, so be prepared, and if possible, send multiple edits to the performer.