Preheat oven to 400°F.

In a bowl, combine shredded coconut, finely chopped walnuts, vanilla extract, milk, and honey.

Mix the ingredients well to form the filling.

Grease a jellyroll pan lightly.

Layer 10 phyllo sheets in the pan, brushing each sheet with melted butter.

Sprinkle the coconut mixture evenly over the layered phyllo dough.

Layer the remaining 10 phyllo sheets over the coconut mixture, brushing each sheet with melted butter.

Cut the baklava into diamond or square shapes.

Bake in the preheated oven for 20 to 25 minutes, or until golden brown.

Remove the baklava from the oven and let it cool completely.

While the baklava is cooling, prepare the syrup.

Combine water and sugar in a saucepan.

Bring the mixture to a boil, then reduce the heat and simmer for 15 minutes.

Remove the syrup from heat and stir in fresh lemon juice.

Pour the hot syrup evenly over the cooled baklava.

Let the baklava stand, uncovered, for at least 6 hours or overnight to allow the syrup to soak in.