Check online for courses. Usually they're run at colleges, like in Colorado they are usually out of one of the many Colorado Mountain College locations throughout the Rockies. While avalanche safety is very important, it's hard to implement the knowledge if you have no experience. My advice would be to do a guided ski tour. Most guiding companies will give you equipment to use during your trip and guides are some of the most knowledgable folks out there and will be more than willing to give you advice and answer any questions. Just remember to tip well ;). Guided tours are a great way to get started backcountry skiing and to see if you like it, before you spend a shitload of money on gear and safety courses.

I highly recommend finding a buddy to go with, especially if you're just getting started. Going in the backcountry alone is dangerous, and having someone with you makes the experience much more enjoyable. In some places there are local groups that get together and go or organize trips. Ask around your local ski shops or online and you might find something. Best of luck! Backcountry skiing offers something that just can't be mimicked at a resort and is one of the most amazing experiences I've ever had. Maybe I'll see you on the trails one day!