Plex has no direct support for courses. You can try to use the hierarchy model for tv shows though.
It is beneficial if your files are using the mp4/m4v container format. Because Plex can read certain embedded meta tags from these. Most importantly the title tag.
Prepare to use these embedded tags extensively. Because it is of course a workaround to put a course into a tv show structure.
While Plex can go out to TheMovieDB.org and TheTVDB.com to fetch information about tv shows (like posters and descriptions) it cannot do the same when it comes to training courses.
So:
embed descriptions and the title of each “episode” into the files (on Windows and Mac, you can use e.g. mp3tag to do so)