You can purchase a cheesecloth from your local grocer, its usually where all the gadgets are sold. You can also buy a cheesecloth from Bed,Bath & Beyond and Linens and Things.
This is nice and creamy I could almost drink it. It was better than another do it yourself coconut milk in which the water wasn't heated that I have tried. It was just a bit tedious and messy with the cheese cloth. I may use this recipe again.