There are different yogurt products on the market and many are heat-treated for stability.
If you make yogurt with active bacteria, they will continue to live and digest the lactose in the milk you started with. This also means the flavour profile of the yoghurt will change over time - most significantly during the first hours or days, but the process won't really stop. This is something yogurt manufacturers have to deal with as well. An easy solution is to kill the bacteria with heat, but of course that means you won't be able to use that yogurt to make more yogurt - there are no live yogurt bacteria present any more.
Laws vary between countries, but for example in Germany, manufacturers are allowed to heat the yogurt to kill the bacteria (but must write "heat treated"1 on the label). They may or may not choose to do so. On the other hand, keeping the bacteria alive and active allows for marketing the yogurt as especially healthy. Organic manufacturers are generally forbidden to heat their product.
If you want to try your hand at making yogurt, I strongly suggest you stay away from any snack or convenience products that have a long shelf life and additives, even if they don't have any hint about heat treatment on the label. Especially if the product doesn't need refrigeration - then it's certainly pasteurized or similar. Your best bet would be a pot of non-flavoured organic yogurt (choose a brand/product you like to get the bacteria type for your batch) or, if you want a specific kind and be really sure, a special starter culture, available in some "health food" stores or online.
1 Obviously they have to use a German term, which is "wärmebehandelt".