This is really too easy. It's probably not the only method, but I've never had a failed batch, and that's good enough for me.
Start with a bottle of probiotic capsules, and some coconut milk. Better make it fair trade, or organic or something so that you can feel righteous. ;) It doesn't have to be full fat. The 'lite' coconut milk also gives good yog. Most have guar gum added, but this doesn't affect the outcome.
Pour the whole can into a suitably sized container - I use a large beer glass, which encourages a party atmosphere for the probiotic bacteria.
Empty one capsule into the coconut milk. The technique is illustrated below, along with the last of my winter chillblains and insufficient manicure habits.
Stir, cover and leave in a warm place.
The sunny benchtop works well at the moment. But in winter I just move the jar around the house to wherever it is warm.
Check daily until the magic happens. You can taste the fermentation (tangy, yogurty flavour) just before it thickens, and if you want drinking yogurt, just put it in the fridge at that stage.
If there is no action after 4 days, most likely your probiotic capsules are dead. In which case, you'd might as well stop taking them as a probiotic, eh?
Probiotics are quite difficult to keep alive. When we used to make capsules, the probiotic raw material came packed in a cooler and was never allowed to get above 10 degrees C. If it did, we couldn't guarantee the level of live bacteria. I think there are some 'stabilised' versions now that are not so fragile, but yogurt making is a good way to check that you actually have live bugs in that capsule and not on-their-backs-legs-in-the-air, dead ones.
Once you have yogurt, refridgerate and use in the same way that you'd use any other natural, unsweetened yogurt. I can't really tell you how long it lasts in the fridge because mine mysteriously vanishes within a few days. Damn fridge monsters. :D