If you are looking for classes to do Security Software Engineering I recommend advanced exploit and development courses such as InfoSec Institutes Advanced Ethical Hacking course or Offensive Security's Cracking the Perimeter course. Both classes focus on advanced exploit and shellcode development.
I also recommend learning about tools like IDA Pro, Ollydbg, Immunity CANVAS and Metasploit Framework.

However these courses are not beginner courses and you should not take them without a good foundation in skills such as networking, linux use and especially programming.

In terms of system security there is a huge range of courses to choose from and it really depends on what you want to focus on.

It may help to tell us if you have already some kind of experience or in which areas you have knowledge.
The courses mentioned by KamiCrazy are all good (at least from what i have heard and read of) but as he said, it may be too hard yet if you have not some basic knowledge.
If you are complete new to all this I would recommend CCNA which will not only teach you about cisco devices but also about networking basics in general or CompTia certificates (Security+ & Network+) which should be considered as certificates to enter in the field.

Not only classes will help you but there are also plenty of good books available which will give you much knowledge of secure programming and security in general. Search the forums for those as there have already been plenty of recommendations given.