To grill halloumi on a grill pan, cook on medium high heat, and make sure to drizzle some olive oil on the pan to prevent any sticking.
Halloumi is carried in many large grocery stores. In the U.S I know that WholeFoods and Trader Joe’s both carry it, and you can order it online. It’s a bit easier to find in the UK, and can be found in most supermarkets like Tesco’s, Asda, Sainsbury’s, and Waitrose.