Where to look for bale of straw?

Look in your local telephone directory, or on the internet. There may be a farm near you that advertises hay or haylage for sale at the entrance to the farm. Or you could ask at a local stables or equestrian centre. As you don't say which country you are in, I can't be more specific. Avoid using silage (fermented mown grass) as it is not considered suitable for horses. If you just want a single bale, a pet shop may be able to supply straw, but would be more expensive.