I doubt there are any free training cds - good training courses are normally written by either the software owner (Cisco/Novell/IBM) or by a particular company. Either way, there are a number of overheads - pressing the cds, writing the courses, paying their staff, paying their utility bills, etc etc. If you want to learn Linux, load up a distro and download RUTE and use
The Linux Documentation Project.
With training, you get what you pay for.