For full disclosure, the author of this site is also the founder and senior instructor of the Institute for Finance Education and Career Advancement. Now, having said that, I am going to try to answer this question as honestly as possible.
I do think a course or training program can be very helpful to your job search, provided that you select the right one and that you get the most out of it. The course that I teach, entitled Introduction to Investment Banking is really geared towards individuals who are or will be in the process of seeking jobs in investment banking or other areas of finance. We start off with an overview of the investment banking industry and the necessary foundations of accounting and finance. We then spend the bulk of our course on the core skills required of junior investment bankers, including financial statement analysis, valuation and financial modeling. We devote the entire last class session to recruiting and the job search, including an extensive discussion of interviewing.
Obviously an 8-class session like I teach is not inexpensive. And while it will by no means guarantee you a job or even an interview, I do believe that it can really help your chances. Having taken a course like this will differentiate your resume from your peers and should (provided that you pay attention in class and do the homework!) really enhance your interviewing skills. As you probably know from reading other parts of this site, technical questions are an integral part of interviewing for investment banking positions. Taking a course like this will introduce you to or refresh your memory of nearly all of the accounting, finance and valuation topics that you are likely to be asked about in your interviews. And finally, having already been introduced to the practical aspects of life and work as an investment banker will set you apart and give you a leg up once you do start your job as an analyst or associate.