The clicker is a small hand-held device that makes a distinct, short sound to mark a desired behavior. (See clicker training for a more detailed discussion of this methodology.) It has gained popularity in recent years as being a means of training that does not involve physically correcting the dog, though it may be used in conjunction with these methods.
Before enrolling with a particular club contact them and ask if you can go to watch a class without your dog. This will help you decide if this is the right environment for you and your dog. Some clubs have waiting lists and you will need to book ahead, some accept people on a roll on roll off basis. Prices will vary from a joining fee and then weekly payments to a one off fee for a certain length of training.