You can certainly purchase a peeled or de-nuded beef tenderloin at any market or bulk-shopping club store, but you'll be paying a premium for the service of having the store's butcher do what can be so easily done yourself. For example, a peeled and trimmed tenderloin can cost upwards of $25 (or more) per pound at a supermarket, while a whole tenderloin costs about $11 per pound (at Costco, for example). On average a whole beef tenderloin weighs between 5-1/2 to 7 pounds, so when you do the calculation, it's pretty clear that you'll save quite a lot of your hard-earned money if you buy a whole tenderloin and trim it yourself.
A whole beef tenderloin is usually wrapped in a vacuum-sealed package, so the first thing you'll need to do is drain the accumulated blood from the package. I recommend opening the package in the sink. Snip off one end of the wrapping with a scissors, and hold the tenderloin over the sink, letting the blood drain. Transfer the tenderloin to a cutting board (or you can keep it in the sink, if you prefer), and carefully snip off the rest of the packaging. Pat the tenderloin dry with paper towels. You're now ready to start trimming.