If you can find an Indian grocery store, that's by far the best and cheapest outlet for your ingredients. They charge a small percentage of what mainstream markets do for spices. Second choice would be online Indian grocers.
I don't know if fenugreek seeds are a reasonable sub for the dried leaves.
You could use coconut milk in place of cow's milk/cream but it would completely change the dish. Not better or worse, just not dal makhani.
"If you want to make an apple pie from scratch, you must first create the universe." -Carl Sagan