There are two types of kefir grains, water and milk, to be used with their respective substances.
You can purchase them from
amazon.com (a simple search will bring them up)
Oh, and milk kefir grains are reusable cultures of yeast and bacteria, which produce a probiotic dairy product (Milk Kefir) when added to milk.
Milk Kefir is better than yogurt in that it actually helps to repopulate your intestinal tract with bacteria, rather than providing transient bacteria...it also contains beneficial yeasts which penetrate the mucosal lining and help to eliminate unhealthy yeasts.
It is also, in my opinion, easier to make than yogurt. Just put the grains in a jar with raw milk and wait 12-24 hours, strain them out and begin again!
Water kefir grains are an entirely different thing, but look similar. They are reusable cultures that when added to sugar water or juice, create a probiotic carbonated beverage which is a good and healthy substitute for soda.