You'll find polenta/cornmeal in most supermarkets, but it won't necessarily be in the regular baking aisle. Try looking in the International section, if they have one, or even by the rice/pasta.
It comes in fine, medium and coarse texture, and it's a bit of a Goldilocks situation, except none of them are just right. But each might work for particular situations.
The fine polenta (which is a bit harder to find) works alright for cornbread, muffins, etc., but you have to adjust the liquids in the recipe, or stuff can end up too dry/crumbly. You might also try mixing in a little of the medium with the fine, for texture. Medium itself works pretty well for coating, i.e. dredging fish for pan frying (as long as you add a bit of plain flour, too), or for lining bread/pizza pans.
If you want to get it 'just right', and you've got a food processor/grinder, you could try buying the coarse polenta, and just blitzing a few times to get it somewhere between fine/medium. But, to be honest, it's probably easier to just order American cornmeal online, which you should be able to do from Amazon/eBay, or from specialty food shops. And if you're in a big city, and there are any Caribbean or Latin American specialty shops, you could check there, too.