What Vampire movie came out late 90s early 2000s and had a vampire band that plays in club or bar?

The movie you're likely thinking of is "Queen of the Damned" (2002), based on the Anne Rice novel of the same name. The vampire band in the film, led by the charismatic Lestat de Lioncourt, is called "The Bloodhound Gang".

It's a rock band and the film features several of their performances, including in a nightclub setting.