Put the liquid in the blender first, always. Powder against a dry blade packs into the bottom and never fully disperses.
Add the powder next, then the frozen banana and ice on top.
Blend 45 seconds, longer than feels necessary, until there is no grit against the tongue. Under-blended powder is the single most common reason these taste chalky.
Let it stand 2 minutes before drinking. The foam settles and the texture thickens noticeably.
Pour into a glass rather than drinking from the blender jar, and rinse the jar immediately; dried protein powder is genuinely hard to clean off later.