I'd recommend you buy this in tins, it's a lot easier than making it, and the tins last practically forever. Once opened, keep them in the fridge or use the coconut milk within a few days. You can also buy coconut cream in Thailand. This is the richest, most concentrated part of coconut milk and is used in some recipes. You can make this by reducing the amount of water used, to make the milk more concentrated.
However if you can't find tinned coconut milk, but you can find fully ripe coconuts (brown coconut rather than green young coconut) you can make it yourself. The watery liquid inside the coconut is coconut water, not coconut milk. Coconut milk is made from the flesh of the coconut. A final note, don't try this with desiccated (shredded dried) packet coconut, it does not contain any juice.

Save the Water
1. When you break the coconut it will contain coconut water, which you should save as part of the coconut milk.
2. Top this water up to 2/3rds of a litre with regular drinking water, or half a litre to make a richer coconut cream.

Removing the Flesh
1. In Thailand when we make this we have a special grater, shaped like am orange juicer. Coconut-halves are twisted on this grater to remove the flesh easily - if you have one of these special graters it's very very easy.
2. If you have a strong blender, you can break the coconut into pieces, remove the hard outer shell and blend it into a pulp - it does not matter if some of the brown soft backing comes off too when making coconut milk, it will be filtered later.
3. If you have a flat grater, break the coconut into small pieces and grate them against the grater.

In the photograph at the top you can see the coconut, grated coconut in the middle and the finished coconut milk at the right.

Preparation for the Milk
1. You can make about 2/3rds litre of rich coconut milk with a regular sized coconut.
2. Add all the coconut flesh from 1 coconut into the litre of water and mix it with your hands. Squeeze the coconut flesh repeatedly to squeeze out the juice.
3. After about 10 minutes of squeezing the water should be very milky.
4. Strain the liquid through a large strainer or muslin cloth. Squeeze the flesh to get the last bit of juice from it.
5. That's it, there's no special magic to it - just a little hard work.