I guess most people would disagree, but wouldn't it be better to actually make a game instead of going to a course? You will learn much more this way in my opinion. And it's cheaper and more fun

I have tried many times, I really need some guidance

No problem, try this:

Take a piece of paper, a pen, a few pawns and a dice (you could use various non standard dices, not necessarily d6). Draw some boxes and invent what happens when you land on that spot. Then take it to your friends/family and made them to play it and give you feedback. Then redo your game and made them play it again.
Once you feel comfortable you could add more advanced mechanics like drawing cards (events, items, special effects, rule changing cards). And when you are really proficient try area control, majority control, rondel, etc.

Of course you can say it's above you and you don't want to start with some stupid boardgame, but these are actually harder to design (while much shorter to make) than computer games and you will learn tons from it

Onirae, your question has been moved to the Breaking In forum. This forum is focused on preparing for and obtaining game industry jobs.
It's recommended that you read the forum FAQ (back out to the forum topics list, and look for the link at upper right).

Honestly I have to disagree

I have tried many times, I really need some guidance

Back when I was 20 it was easy for me to pick up a book and sponge my way through it, but now it's not that easy

I prefer to have someone to guide me through all steps, from design to art to audio to programming

Is there any specific reason why you want to learn all of the aspects?

Although I think (my opinion!) everyone that wants to make games has to have some knowledge about all the aspects (art, programming, designing) of making them, but to be efficient in one of the aspects should be a main prio and you will not learn enough properly in say, a 2 year course about one aspect, let alone multiple aspects.