You're not going to find anything labeled "prime rib" in most stores since most "prime" meat never makes it to the retail market. They can't label meat as prime if it isn't prime.
"Prime" is a grade of beef, the highest grade, followed by "choice" and "select". (Stay away from select.)
What you want to ask for is a rib roast. You can get them bone in (preferred) or without bones. If you get one with bones ask the butcher to cut them off and tie them back on.
"Prime rib" really refers to a certain technique of cooking a rib roast, in most cases.
I cook them all the time. I cooked one for Christmas and I have one ready to go for this Sunday that I'm cutting into steaks for opening night of our family's 4 day celebration where Mo gets all of his favorite foods.
Cooking them really isn't hard. If you want to know how I do it I'll be happy to pass it along.