The staple tropical fruit (not a nut!) grows on the coconut palm. It’s outer husk is protected by a fibrous shell that protects the inner fruit, from which coconut oil and milk can be derived.
Pick the coconut up and check the weight. It should feel heavy and full. Put it to your ear and shake it! You should hear fluid inside. The color is important as well, as a brown husk indicates more meat while a green husk indicates more juice.
Break it open, drain the juice, and scrape the meat from the shell with a knife. Use a cheese grater to shred the meat and roast them!