In the UK, cornmeal is more commonly referred to as polenta. Polenta is actually a porridge-like dish from Northern Italy, but in the UK packets of cornmeal ground to the optimal coarseness for making the dish are simply known as polenta.
Generally, the polenta found in the United Kingdom is made from a more finely ground cornmeal than the stuff you would find in the US. That being said, they will both serve the same purpose in your recipe.
If you can travel to a health food store, you may see more options in terms of polenta than you would in a general supermarket. This is where you are most likely to find a variance in the grind coarseness so that you can choose the optimal grind for your recipe.