Coconut Milk is a white milky product of coconut meat crushed and infused with water used in cooking throughout Asia. It should not be confused with coconut juice, a refreshing drink which is the naturally occurring liquid inside fresh coconuts. Usually sold condensed in cans, and found in any grocery store, (or online here) coconut milk is used as a base for several Thai recipes, including Coconut Chicken Soup, and Green Curry Chicken, as well as some desserts.
Most Thai people use canned Coconut milk in their recipes, and the Chaokoh brand is highly recommended. Making coconut milk used to be very labor intensive, requiring a special scraping tool/stool called a kratai-kood-maprao which literally means "rabbit shred coconut", perhaps for the up and down motion that the person does in using it. However if you have a food processor making your own coconut milk from fresh coconuts is not that difficult, and has the benefit of being fresh, and free of any preservatives or chemicals. The video below shows you how to make your own organic coconut milk.