I understand your confusion. The bank's response makes absolutely no sense. If the house is "with them" but they're not currently marketing it, that'd mean that the house was foreclosed upon and now it's bank-owned. In that case, you'd have to wait until the bank decided to "market"--that is, put the house on the market--the property.
But then the bank says you have to contact the owner? The owner would be the bank, if the foreclosure occurred. (Maybe there's some sort of redemption period--some states have that--though I don't know about Illinois.)
Where to start: Try a Realtor first. He/she can check various records and perhaps give you an answer as to who the owner is. That won't cost you anything. Then, if appropriate, you can proceed to a lawyer.