Drug store. You can find pre made splints at drug stores, but before you immobilize your finger for more than a couple of days you should see an orthopedic surgeon to get the problem diagnosed. Some injuries should not be splinted, some should be splinted straight others with a bend at one of the joints.
Depends. If splint is for overuse or inflammatory condition it would probably be okay. If splint is for post operative immobilization or an initial support for a reduced fracture it could create significant adverse problems.