Desmond, you can do either one.
Using pasteurized milk, heat it to 100 deg F, add a few tablespoons of active culture (yogurt bought listing it has active cultures, flavor, plain). Then mix and keep it warm overnight, in a cooler with hot water bottle, or an oven that stays around 90-100 deg F. Leave it longer if you want it more sour or thicker. Pour off any separated liquid for thicker.
Or take yogurt bought or made, drain it through a tea towel or butter muslin overnight, it will be thicker.
In the US you can buy greek yogurt, which is thicker than standard yogurt.