Bands of special soldiers capturing a woman (6)
I believe the answer is:
sashes
'bands' is the definition.
(sash is a kind of band)
'special soldiers capturing a woman' is the wordplay.
'special soldiers' becomes 'SAS' (Special Air Service in UK army).
'capturing' means one lot of letters goes inside another.
'a woman' becomes 'she' (she refers to a woman).
'sas' going around 'she' is 'SASHES'.
'of' is the link.
(Other definitions for sashes that I've seen before include "They're worn by men of 9 down" , "Moveable window-frames" , "They're worn over shoulders" , "Frames holding the glass in windows" , "They're worn over the shoulder or around the waist" .)