When a band plays live music in a concert hall, club, arena, or other place for fans, it's called a "show".
You can also call shows "concerts":
We have a few concerts coming up later this month.
But "concert" doesn't sound as cool as "show", so fans and musicians who want to seem cool and young are likely to use the word "show". Classical performances and large, commercial events are more likely to be called "concerts".
Some English learners call shows "lives", but that's incorrect English and sounds funny.