When people refer to coconut milk, they are typically talking about canned coconut milk. This is often used in cooking, such as making curries and other thick sauces.
You can also store a can in your refrigerator, separate out the thick, non-liquid portion and whip it up into a coconut whipped cream (add sugar) – yum!
There is also coconut beverage. This is used as you would use rice, almond, soy or hemp milk – in coffee, cereal, smoothies, etc. It typically comes in a tetrapak box.