Research the licensing requirements for your state through your state's secretary of state or department of public safety. Find out what test is required, if any, what materials are available to you through your state licensing body and what preparation they recommend for the test.
Conduct an Internet search for schools in your area that offer courses in criminal justice or private investigation techniques. Many of these will offer preparation courses for any examination you may be required to take before getting your private investigator's license, but you need to further investigate to be sure.
Look for online universities or trade schools that offer criminal justice degrees. These will offer the same service as a traditional bricks-and-mortar school, but allow you the convenience of studying at home.