The Patterns and Practices team at Microsoft has published 6 introductory training modules on secure development from Keith Brown on the Channel 9 site. They are complete with video on the tecniques and explanations of why you have to take these precautions. The topics include Cross Site Scripting, Validation Controls, SQL Injection, and a Regular Expression Lab. They are a great way to introduce developers to the tecniques required to prevent becoming the next bad headline!
They can be found here: