You can find it here: https://www.digikey.com/product-search/en/inductors-coils-ch...

Honestly, just strip coax away the outer sheath to expose the inner conductor. Make a loop with the exposed inner conductor and solder back onto the sheath. Increase the loop size or turns for lower frequencies.

Stripped probe is electric. Looped probe is magnetic. Stripped/looped probe is mixed probe. If you use coax - leave the shielding, just make sure to leave a gap. Just look at this picture [1] from this quite good article [2]. Depending on the design/equipment, you might need balancing/symmetrization.

Also directivity/sensitivity. While turn count will improve overall sensitivity, loop size will increase directivity. Keep in mind that both loop size and turn count affect probe filtering characteristics (it IS a filter), so I highly recommend experimenting with several designs. Have a look at my attempt at making magnetic probe from RG174 [3]. It is fat because of two layers of thermal shrink tube, which made it stiff enough for my experiments :)

It is hard to tell from a picture, but it should be that this probe uses two wires exactly for this purpose: one acts as a central conductor, other as a shield.

[1]: http://www.compliance-club.com/archive/old_archive/030718b.j... [2]: http://www.compliance-club.com/archive/old_archive/030718.ht... [3]: http://imgur.com/hiRUJl6

An RTL-SDR (6$ on ebay, get the R820T2) could work too.

The RTL SDR can (unmodified) only receive down to a few ten MHz. At least for some of their research they used a soundcard. As far as I know you will access different types of information. kHz range is mostly power consumption. Tens/hundreds of MHz is bus activity.

Both may be correlated, and both gives you side channel information to attack cryptography.

To me it looks like the coil of an wireless charger, or of an RFID reader.

Yes, this is what you can find inside a wireless charging pad or inside a wireless charging phone. You can find them on ebay for $3. Look for "usb wireless pad".