It can be confusing to know the difference between coconut milk and coconut water in the beginning because people like both beverages. When you say coconut water, this is the juice that you can find in the fruit. When you open it up, it will come with a clear juice that you can drink straight.
Coconut milk still comes from coconuts, but it has already been processed or has been mixed with milk in order to have a creamy taste. There are also some people who get natural coconut milk from the meat of the coconut. This involves drying the meat a bit then finally grinding the meat into tiny pieces to extract the coconut milk.