It seems that making "thick" coconut milk is a little involved (I would guess you don't go out and buy it) and the following is a condensed and paraphrased version of what she says: "When I refer to "thick" coconut milk in a recipe, it is made from the first pressing of the milk or water through the coconut meat..... To obtain 2 cups of "thick" coconut milk, you'll need 2 cups of coconut (she prefers to use dried, unsweetened [desiccated] coconut found in health food shops or Oriental stores) and 3 cups of whole milk. Scald the milk in a saucepan. Place the coconut in the milk. Stir and remove from heat.
Let stand until cooled to room temperature, stirring occasionally. Strain this mixture through a sieve using the back of a spoon to express as much liquid as possible."