In lead object Feilds called Industry,So seleted Industry Feild On Banking Then get error How to do this through Validation Rule
"Industry" is a built-in field for the Lead object, so you don't need the "__c" in the field name in your validation rule (and note when you do need it, there are two underscores). The "__c" is used to indicate custom (not built-in) additions your organization has made to Salesforce. So in your case, a validation rule of simply ISPICKVAL(Industry, "Banking") should work to block use of that industry.
If you are going to do that, you can also consider simply de-activating the "Banking" picklist option in Setup > Object Manager > Lead > Fields & Relationships > Industry. That way it is never presented as a choice.