Did you refer to the administrator's guide? It has an example of running banner.
Something else: Make sure that at the target machine service desk agent is running and it is the same SP version as the server. Also make sure that the port 50998 of the target machine is accessible from application server.
If it keeps failing, copy banner.exe to root of C: on workstation you want banner to run on, change command line in rule and try again. I've noticed that sometimes the command line is too long for OVSD.
This option is under windows services in control panel. The agent runs as a windows service and one option for services is to allow them to interact with the desktop. If this is not checked the banner when called from the agent service wont be allowed to show itself on the desktop.