Where do you file a complaint against a bank?

You should check the official website for your state and look for your state banking commission. That is the first place to seek information. File your complaint first with that office. You may complain to the State's Attorney of your state if you think their behavior is unethical or illegal.

There are also - depending on your complaint - various regulatory agencies that might be appropriate to contact. The Securities and Exchange Commission, the Federal Trade Commisssion, or even OSHA if it is a work safety related complaint.

If it's a complaint about something that occurred at a branch you can complain to the Bank's headquarters if you believe your problem can be resolved by the Bank itself.