I did it last year, I taught myself via a book (Linux+ 2005 in Depth) and lots of practice which is the best method as it will teach you a hell of a lot. Much much better than paying ££££ for a teaching centre to spoon feed you.
You can do the exam at a Prometric or Pearson VUE testing centre, they have lots all over the UK so there should be one somewhere close to you.
Might also be worth looking at the LPI exam, as i hear it goes into a lot more detail and is higher regarded than the CompTIA one, but I also wouldn't advise starting off with it as its pretty hardcore. Linux+ is a great (vendor neutral) foundation to linux imo