Until very recently, there was no training course to learn SEO in France.
However, the IUT (Universitary Technology Institute) of Mulhouse inaugurated in September 2008 the first professional Bachelor degree to become SEO and web content writer.
The great majority of SEOs (not to say all of them) have been trained thanks to specialized websites (blog, forum…) and conferences given by experts or skilled speakers.
SEO is indeed an empirical job and experimenting remains the best way to learn.