Iridium Ore is obtained from rare Iridium deposits as well as from some high level Monsters as a rare drop. Iridium Ore can also be found in Geodes such as the Omni Geode and Magma Geode.
The ore deposits themselves are incredibly rare and are not present in the initial 120 floors of the The Mines, however Iridium Ore deposits can be found in the Quarry, and have been spotted in some of the lower levels of the Skull Cavern.
To craft an Iridium Bar you will need 5 Iridium Ore and 1 Coal. The smelting process can take several in game hours.