The training school is, in General Zaroff's thinking, a very important aspect of his "game" of hunting human prey.  The training school is an area in the cellar of General Zaroff's mansion in which those unfortunate enough to find themselves on Ship-Trap Island are forces to attempt to prepare and condition themselves to become the hunted.  At the time of the discussion between Sanger Rainsford and General Zaroff regarding the concept of the hunting of humans and the training school, Zaroff states that he has "about a dozen pupils down there now."  Zaroff considers the men in his cellar to be a "very inferior lot," which he finds extremely disappointing; he does not enjoy his hunting when he believes that his quarry does not provide an adequate challenge to him as a hunter, which he why he is especially excited by the idea of hunting Sanger Rainsford, who is an expert hunter himself.

General Zaroff's training was in Russia before the Revolution of 1917.  He was born of a noble family and his father had trained him to be a hunter from the age of five.  He was in the army and also commanded a divison of the calvary.  He had been on many expeditions and was primed from early childhood to be an expert hunter.