Well, I can't think of any courses, but if you watch/help build one, then you should know the basics, and be able to build one alone.
I just built my first computer this past summer, and didn't think I'd be able to do it. I read the manual for the mobo about 10 times, and it still seemed too difficult. I pulled out all my parts, and got to work, and believe it or not, I'm writing this from that computer. It was really simple.
Building a comp in a nutshell comes down to: cpu to mobo, heatsink and fan to cpu, power to mobo, ram to mobo, power to hd, hd to mobo, power to cd drive, cd drive to mobo. Then you'll be set to install an OS. (That's how mine was, because I had integrated sound and graphics.) It's really just common sense, and it's pretty hard to screw it up, because if it doesn't work, then you go back, and see what's wrong. It sounds harder than it actually is.
There are tutorials on google, that you can follow, too. There's probable a course at some local community college or something, but I really couldn't tell you, lol.