Hi!
Did you check Sun's website for
Java training? If not, check it first! Though I do not recommend to completely rely on it for passing SCJP, it is good for beginners, provided you are ready to spend money! Upon finishing the training, you could study yourself purchasing a book(KB is recommended). Apart from the introduction you get from the training, you are likely to meet other SCJP enthusiasts who could join you in preparation (yeah, this is the BIG benefit you get if you join some training institute!). Group discussions are really good for SCJP and if you are a self-motivated guy, you would study on your own.
Oh yeah..herz the website
http://www.sun.com/training/catalog/courses/CX-310-055.xml Check the location closest to you.
Good luck!