(Answer mostly copied from this answer by @Relaxed)
Annex II of the Schengen Visa Code (EU regulation 810/2009) includes a non-exhaustive list of “supporting documents” that sheds some light on the categories. Here are the most relevant bits:
for business trips:
(a) an invitation from a firm or an authority to attend meetings, conferences or events connected with trade, industry or work; […]
(c) entry tickets for fairs and congresses, if appropriate; […]
(e) documents proving the applicant’s employment status in the company;
for journeys undertaken for the purposes of study or other types of training:
(a) a certificate of enrolment at an educational establishment for the purposes of attending vocational or theoretical courses within the framework of basic and further training;
(b) student cards or certificates of the courses to be attended;
for journeys undertaken for the purposes of tourism or for private reasons:
documents relating to accommodation [...]
documents relating to the itinerary:
for journeys undertaken for political, scientific, cultural, sports or religious events or other reasons:
invitation, entry tickets, enrolments or programmes stating (wherever possible) the name of the host organisation and the length of stay or any other appropriate document indicating the purpose of the journey;
I'd say "study" is the most appropriate category in your case since the Schengen Visa Code specifically mentions "other types of training" as a possibly reason for applying for that visa. However it might be hard to obtain a "certificate of enrollment" if it's an informal course, rather than something academic.
If you are still unsure, you could also simply check “other” and write “training” to prevent any misunderstanding. It's important to be forthcoming about your purpose and to submit as much relevant documentation as possible but, unlike some other countries, the Schengen area does not have strictly defined visa categories. The category is there to help processing, your visa will not mention “business” or “study” and it won't be checked at the training or anything (this does happen in some other places like Colombia).