Accessing COC Training Hall in Oblivion on Xbox 360: Not Possible
There is no "COC Training Hall" in Oblivion on Xbox 360. "COC" refers to Console Commands (PC-only). The Xbox 360 version lacks console command access.
Legitimate Skill Training on Xbox 360
Visit Trainers: NPCs with a "T" icon on map teach skills for gold.
Practice: Sneak by sneaking, Speechcraft by talking, etc.