Banshees are ghost enemies that (unlike other enemies) cannot be killed directly. The only way to kill a banshee is to the destroy a body tied to a post. One should take care in the presence of Banshees as they take about 25-50% of your life away and since they attack in swarms, Running is recommended.
They are enslaved souls by Dutch and appear as ghostly-women when found, and when they reach you they become a red skeleton-like enemy.
A banshee and the "body tied to a post"
A banshee in his normal form (Up) and the attack form (Down)