Any hobby store.
Www.dealextreme.com sell them, and free shipping.
Search for lithium polymer 11.1 volt. You will need a lipo balancing charger to, can't use any charger. You can get cheap ones there to.
Mah = battery size. 2000 mah means you will be able to draw 2 amps of your battery for 1 hour before it goes flat.
C = the rated current draw. 20C would mean it's safe to draw 20amps of the battery without it getting to hot. 10 or 15C should be heaps.
When fully charged the battery peaks at a bit over 12 volt. As it gets used the voltage drops. Don't let it drop below high tens or it will ruin the battery. A simple dc multimeter can check the charge of it.
As a rule charge them outside, they can explode, (check youtube) although it's highly unlikely. I have tried exploding them by shorting them out. Putting 10c ones on a 40amp draw, numerous big rc plane and heli crashes and still no exploding, I think it's more overcharging them, but the chargers do have a voltage cut off, but still be careful.
Use them at your own risk on the 9v Lego it receiver. It worked fine with me.
Wire it up like this (thanks to the thread linked in here) you will need a spare Lego connector clip. If possible use a on off switch, at the moment I just plug it in to turn it on. 2 wires join for the positive, 2 to the negative. Make sure you get the negative and positive leads right! I did a test with a spare motor before plugging it in to the ir.