Depends what sort of welding you want to do?
I wanted to learn to TIG weld so I did an eveing course at my local college (actually 2 x 3 hour eves per week).
Was a bit over the top for what i wanted really cos after submitting test peices to the cambridge institute, a few exams and several hundred quid in college fees I am now a fully qualified TIG and MIG welder
Now i have just got to save up 3.5k (and justify cost to wife) for the welder i want.