Many South-East Asian dishes require the use of coconut in its various forms. Here's a quick list of the common types of coconut you may encounter in recipes, and where to find them in Pittsburgh.
This is probably the most common condiment you will use. Just about everything Malay in origin has some coconut milk in it. There are two varieties, thick and thin, and it also comes in powder form.
Powdered coconut milk: This is the most versatile form of coconut milk you can buy. It comes in a powder, that you mix with hot water to get coconut milk from (kind of like those tins of milk powder they use to make milk for babies). The great thing about this is that it keeps for very long, can be portioned easily, and by adjusting the amount of water you use, you can get thick or thin coconut milk. Currently the only place I've found selling this is Yong Fa Supermarket?, in the section near the stairs with all the Thai stuff. The one I use is the Chaokoh brand.
Thin coconut milk: You can buy cans of these from Lotus Supermarket?, Yong Fa Supermarket?, both in the Strip?. The Giant Eagle? Market District in Shadyside has some too, but they're probably more expensive. Other places are the Indian grocery stores: Kholil's? abd Bombay Mart?. It tends to be pretty common so you shouldn't find it difficult to locate.
Thick coconut milk: It is pretty hard to find the thick variety sold in cans or packages here. The closest you can get to this is the Coco Lopez Cream of Coconut, which is actually used to make Pina Colada. It comes in a can, and is available at the same places listed above. There are some additional things mixed in to the coconut cream though, like sugar, so you should probably adjust your recipe slightly to account for that.
Fresh coconut milk: You can also make your own using a fresh coconut, if you feel like being hardcore: http://www.asianonlinerecipes.com/cooking_guide/coconut_milk.php
Fresh coconuts are available everywhere, including Giant Eagle?.
Additional notes:
You can probably get good grated coconut from a fresh coconut, by extracting the flesh and putting it through a food processor. I've never done it before though, so I have no idea if it'll turn out right.
Dried coconut is available at Lotus?, in the section with all the packets of instant tea, coffee, etc. Its where you find the rock sugar as well. This works quite well, but I've discovered it has a rather weird smell, perhaps due to the way they preserved it. As such using it in cooking is generally fine, but if you want to use it uncooked for garnishing kuehs, its probably not that good an idea.