Intensive course, held at first in Notts town (8)
I believe the answer is:
workshop
'intensive course' is the definition.
(type of class or training programme)
'held at first in notts town' is the wordplay.
'at first' says to take the initial letters.
'in' is an insertion indicator.
'notts town' becomes 'Worksop' (town in Nottinghamshire).
The initial letter of 'held' is 'h'.
'h' put within 'worksop' is 'WORKSHOP'.
(Other definitions for workshop that I've seen before include "Seminar" , "industrial unit" , "Craft room; creative study group" , "Course for group engaged in creative project" , "Place where things are made" .)