Try the Evolution School:
http://www.evoschool.com/index.php
They offer autocross schools all around the country. I did their Phase 1 school recently and it was great. Only $250 for a whole day -- 24 runs! I learned a ton. If you plan on using your Cobra, mask off the lower front corners and in front of all 4 wheels. Be prepared to clean a lot of "cone guts " off of the side pipes too. Major fun and definitely worth it.