You need to add an open parenthesis to the beginning of the index membership section, and a close parenthesis to the end. Then, add the industry code. The advanced screen below should work:
((indexmembership LIKE "%S+P 500%" AND (indexmembership) IS NOT NULL) OR (indexmembership LIKE "%S+P 400 Mid Cap%" AND (indexmembership) IS NOT NULL) OR (indexmembership LIKE "%S+P 600 Small Cap%" AND (indexmembership) IS NOT NULL)) AND (industry != "Banks" AND (industry) IS NOT NULL)
