You can buy pre-ground coffee for espresso at the supermarket, or you can buy whole beans and have have it ground. Just tell the person grinding it you need it for espresso.
There's a brand at the supermarket called Illy (I think?) -- I use to use that (when I had a stove-top expresso pot) HTH
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"I base most of my fashion taste on what doesn't itch." - G. Radner
What Starstuff said, or if your machine is compatible, you can use pods. That's what I use and I just get mine from Starbucks (they're available online from Amazon, etc. too).
How you make it affects the grind. I have a common Italian stovetop two-chambered espresso pot, so coarse-ground regular coffee makes terrific espresso. Or just buy good beans and grind it according to the directions that come with your grinder. Really, it's a question of technique, not beans.