I bought a fresh coconut at the store, soaked it for a few days in water in a bucket, rinsed it, drained it and put it into a large lidded glass jar. I put it where it would be nice and warm, and in bright shade. It sprouted about 8 weeks later.
People have also done this with large plastic bags and a bit of perlite, peat or coconut fiber for some moisture. The key is keeping it warm, much warmer than most people keep their houses. Select a coconut that has a good amount of liquid inside.