Yes you can create sourdough from regular yeast, but it's not necessary. Ordinary flour comes with a trace of yeast. In the San Francisco area, that yeast is famed. Just mix flour and water 50/50 to make a batter-like mixture and leave it in a jar on the counter. Put a lightly fitting lid on the jar.
Add more flour and water every 12h (give or take). You should be doubling the initial amount each time, so 1 teaspoon, 2 teaspoons, 4...
After a couple of days you'll see bubbles developing in the sourdough. Once you're at that stage, you can reduce the amount of care. 'Refresh' the sourdough once a week: mix, take out 1/2 of the sourdough, add the same amount back (50/50 flour/water as before), mix. According to the Wikipedia, this can be kept at room temperature.
Sourdough is a mixture of flour, water, yeast and bacteria. When unattended for some time, 'water' forms at the surface. This liquid contains some alcohol that adds to the flavor of the dough. It's part of the sourdough and should be mixed in when refreshing the dough.
There are two schools of thought as to where wild yeast comes from for a sourdough starter. One is that is in the air, the other that it is present in flour.
Having made a few starters myself and trying different methods, I am of the opinion that the latter is more likely. I have had just as much success with starters I have simply mixed and put in a sealed jar as with the ones I have walked around the kitchen, vigorously stirring with my hands and so on.
You can maximise your chances of having plenty of yeast in your flour by buying organic, as there will have been no chemical treatments which might destroy the yeasts, but any decent flour should have more than enough yeast naturally present to make a starter with.
Yeast, however, is just one aspect of sourdough - you are also looking to cultivate various Lactobacillus species which produce lactic and acetic acid, which is what makes sourdough sour. These are everywhere and so there is no problem with finding them.
However, there are also 'bad' bacteria species that can make your starter go bad. To minimise the chances of this bad bacteria multiplying, it's a good idea to lower the pH of your starter, and for this reason I have had much more success with starters that use pineapple juice. Follow the recipe in this blog, replacing the water on days 1 and 2 with normal, unsweetened pineapple juice, and you'll be on your way.
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Some answers to your questions, based on my experience with wild sourdough starter in San Francisco:
Finally, starters incorporating milk are fridge-only starters (as opposed to flour-and-water starters, which can be kept at room temperature if split frequently) which depend on the bacteria and lactic acid from the fermenting milk for part of their sourness. They can be effective, and actually a good choice if you live somewhere with weak/poor wild yeast. Note that you cannot transform a milk sourdough into a water sourdough, and using up 2 cups of milk every 2 weeks is more expensive than 2 cups of filtered water.