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.