Aside from language instruction, very few courses are geared for foreigners. However, if you are conversational in Portuguese, you can join variety of classes from dance to capoeira to cooking.
Colleges and community centers are the best places to find listings for classes. They are often inexpensive, and taught by local experts. Most often there will be a bulletin board with announcements about courses, programs, and items of interest.
For those with an interest in dancing, check out www.bellydanceclasses.net/brazil for lessons in belly dancing, Egyptian Raqs Sharqi, Fusion, Folk Dance, and more.