The Hidden Training Room is found in the Sewer area of Scuttle Town (under the Palace).
Requirements: Must have the Cannon unlocked. (Yeah, you'll be near the end of the game.)
After you drop into the Sewer area, move into the first room to the right.
In the top right corner there is a set of 3 Purple Blocks. You need to jump and shoot the top two blocks, the bottom one is necessary for you to stand on. (If you mess up, just head back out to reset the room.)
Use your Cannon and Hat to get up on top of the block so you can crawl into the hidden wall entrance.
As you fall in you'll start a multi-wave battle against various monsters from throughout the game. (There are also 4 Large Pots of Gems in the room.)
Wave 1: 1x Vinepot
Wave 2: 3x Large Crab(?)
Wave 3: 2x BatGal
Wave 4: 3x Orc
Wave 5: 6x Lady Knights
Wave 6: 2x Mud Bog Leaper, 1x Mud Bog Cluster
Wave 7: 3x Techo Baron Robot
Wave 8: 4x Purple Archer, 4x Blue Archer
Wave 9: 1x Bat, 1x Purple Archer, 1x Blue Archer, 1x Mermaid, 1x BatGal, 1x ScorpGal, 1x Lady Knight, 1x Naga
After beating the last wave you will get the achievement!