Steam heaters use a boiler system to heat water. As the water cycles though the radiator system in each room, it heats up the radiator, and the heat from the radiator keeps the rooms warm. When you hear banging, it is because there is air trapped in the lines and/or the radiators. Fortunately, the radiators have a built-in bleeder system to purge the air, which should eliminate the banging noise.
Map out all of the radiators in your home, starting with the closest radiator to your furnace. As you work through the process, start with the closest radiator and end with the radiator farthest away from the furnace.
Locate the bleeder valve on the top side of the radiator.
Hold a cup under the bleeder valve and insert the bleeder key over the valve. If you do not have a bleeder key, you can get one from a furnace dealership. If you do not want to go to a dealership, use a pair of needle-nose pliers.
Rotate the bleeder valve counterclockwise approximately a quarter-turn until you hear air come out of the system. Allow the air to purge until water comes out. Close the bleeder valve.
Proceed to the next radiator and repeat the process until you've bled the air out of all of the radiators. If you open a valve and you do not get any air or water, you must close the valve and wait an hour to allow the furnace to build up pressure again.