I had it once only too... in new york, i forgot what the name of the japanese place was, its in mid-town however and i believe its closed now because the owner went back to japan when he found out he has cancer.
It was a special on the menu and my sister ordered it and we did not know what it was. Its very creamy tasting and somewhat like sweetbread.. and it was very very good.
I tried looking for it online to see if any fish market or store will sell it but no luck.
Hopefully someone will know.
It is somewhat awkward to call around and ask if they serve the soft roe... knowing what that is....
Agnes