TJ's does have the Greek yogurt - both their own version (Greek and mediteranean - I love them both) and the Fage brand. Whole Foods also has Fage. It's also in GreekTown, which is also fun to wander around, but there aren't a lot of grocers.
I think that the Whole Foods is at 30 W Huron and the newest Trader Joes is at 44 E Ontario - quite close to each other, actually. As tem said, you could walk the mile north (take Michigan north, then turn left onto Ontario. It's just a block or so to get to TJs. if you want to go to Whole Foods, too, just walk a little farther west, then north up Wabash the two blocks to Huron. Whole Foods is a little to the left.
You can also take a cab, or take the red line, or the Michigan Ave bus. If you like public transportation and aren't familiar with the lines and routes, there is a decent interface to help you determine how to get anywhere -
RTA Trip Planner.
Enjoy that yogurt. I have completely stopped buying sour cream. I use the lower fat one (and sometimes the full fat) for so many things including baking or with a little fresh fruit with honey drizzled over - mmmmm.