You can buy paneer at Indian grocery stores, even some regular grocery stores, but it's half as expensive to make at home and really easy. And, you can tweak the recipe to your liking, as we recommend doing below with cumin. This recipe makes approximately 1 kg of paneer.
Thoroughly coat a large pot with non-stick spray and put in all of the milk. As it starts to heat, slightly crack the cumin with a glass bottle or some other hard object. Add this to the milk. This additive is optional and may not be what you want depending what you're planning to do with the cheese, but, well, I can't off the bat think of an application in which cumin isn't an improvement...
It takes a long time to heat this much milk, so stir it every so often to keep too much from burning to the bottom and monitor the temperature. Ideally, you want to take it off the heat when it's about 98 degrees celsius - just before boiling. If you don't have a thermometer, watch closely and turn off the heat just before it starts to really boil (at which point it'll boil over very suddenly).
While stirring, add a little bit of lemon juice and white vinegar, in alternating order, a couple tablespoons at a time. The milk should start to curdle right away. If it doesn't, it might not be hot enough, or you might need more acid. You can adjust the ratio of lemon juice and white vinegar to your preferences. The equal mixture give it a nice subtle citrus undertone without getting overwhelming. When no more curds are settling out of the whey (the whey will be transparent at this point), you're done. It will look something like this:
Next, cut a single layer of cheese cloth approximately 2 feet or 70cm square and place this in the bottom of a colander. Drain the curds through the cheese cloth and let as much liquid run out as possible. Some people might tell you that an old thin t-shirt will work, but don't believe them - cheese cloth will make the process ten times easier and about 24 hours faster. It's a little tricky to find in stores anymore (but I do see it in those strange discount stores that seem to mostly sell surplus inventory from 30 years ago) but you can order enough for four batches of paneer on ebay for about $1.50.
Gather up the corners of the cheese cloth and twist it tight to squeeze out even more liquid. You'll probably have to let it cool for a few minutes first, or use gloves. Twist it up as tightly as possible, and then wrap it in a layer or two of dish cloths. The whey will eventually drip out of the cheese cloth if you put it under weight, but that's a pretty slow process; wrapping it in a cloth absorbs the liquid out much faster and you can have ready-to-eat paneer in 15 minutes. This photo shows the cheese cloth wrapping after I've let it sit in cloth (underneath something heavy) for about that long:
Unwrap, and you're done!