Smuggler's Den is Chapter 4 of Film 1. During this level, you will occasionally spot red parrots flying above you in the outdoor areas. There's one flying around the first main island, before you go underground.
In free play, you can hit them with most ranged attacks - Will's axe, guns, etc. If you want to get it in Story mode, switch to Jack Sparrow and use his compass (hold B) to find the coconut (it's the item on the right) on the first main island. Go near the parrot and wait for the reticule to appear over it, then hit B to toss the coconut.