You can usually find whole coconuts in French supermarkets. Dried grated coconut, noix de coco râpée, lurks in the baking section while cartons and tins of coconut milk, lait de coco, will be in the Asian section. Coconut oil, huile de coco, is more likely to be in health food stores.
Sauce coco is a coconut milk sauce.
Image by Chandrika Nair