Yes, there are a few of them.
If your course is in the form of a digital file, (something they download) you can set it up with PayVeX
http://www.geniegate.com/listings/payvex…
This is by far the easiest way.
Or, if it is a membership style product, you could set up GenieGate or Amember.
http://www.geniegate.com/listings/dolphi…
(Full disclosure, I own GenieGate)
You could also use amember,
http://www.amember.com/
These packages typically use something called "IPN" (Instant Payment Notification) when a payment is made with paypal, their website sends this IPN to software running on your website. In this manner, your website can be made aware if the person has made a payment.
If you want to do IPN yourself, (write your own software) I've made a paypal IPN "class file" available for free:
http://www.geniegate.com/other/paypal/
This requires programming however. (you just over-ride the methods with database access calls, make sure and confirm txn and payment amount/currency)
I write website software that interfaces with paypal for this kind of thing.