The VR Training Program can be found inside the ARK, it is on the bottom right its called the "Wreck Room". I recommend doing the challenges after you beat the game and all character missions. Here is a list for best characters to use for each challenge:
1. Know the Basics
Kingpin, Yeti, Daisy
2. Wreck Room Blitz
Kingpin, Yeti, Daisy
3. Swarmed to Death
Kingpin, Yeti, Daisy
4. Shocking Face Off
Kingpin, Yeti, Daisy
5. Mind the Boom
Kingpin, Yeti, Daisy
6. Snipe Hunt
Kingpin, Rama, Daisy
7. Tough as Nails
Kingpin, Yeti, Daisy
8. Basically Blitzed
Kingpin, Yeti, Daisy
9. Kings and Pawns
Kingpin, Braddock, Daisy
10. Fast and Faster
Kingpin, Yeti, Daisy
11. Run and Gun
Kingpin, Yeti, Daisy
12. Shock and Awful
Kingpin, Braddock, Daisy
13. Tortoise and Hare
Kingpin, Joule, Daisy
14. Flushed Out
Kingpin, Yeti, Daisy
15. Dodge This
Kingpin, Yeti, Daisy
16. Fast on your Feet
Kingpin, Yeti, Daisy
17. Explosive Mixture
Kingpin, Yeti, Daisy
18. Hellsnipe
Kingpin, Rama, Daisy
19. Flush and Fire
Kingpin, Yeti, Daisy
20. Shock and Shot
Kingpin, Rama, Daisy
21. No Longer Just Basic
Kingpin, Hardtack, Daisy
22. Bullets and Buffs
Kingpin, Hardtack, Daisy
23. Super Rushed
Kingpin, Hardtack, Daisy
24. Buffed out Blast
Kingpin, Hardtack, Daisy
25. Buff N' Rough
Kingpin, Braddock, Hardtack
26. Hell of a Tank
Kingpin, Yeti, Daisy
27. Slow and Steady
Kingpin, Joule, Daisy
28. Sweet Spot of Death
Kingpin, Yeti, Daisy
29. Protection Detail
Kingpin, Rama, Daisy
30. Reinforced Concrete
Kingpin, Hardtack, Daisy
31. Survivor
Kingpin, Braddock, Daisy