You have two options:
Improving Yourselves Through Interactive Elite Training
Improving Yourselves through Interactive Elite Training
The first and last words, pronouns, and adjectives must be capitalized. That leaves us with 'through', a preposition. According to older traditions, it's optional to capitalize it. Newer rules stress capitalizing prepositions with five letters or more. Both look perfectly fine to me, so it's really about whether you prefer the older style or the newer style.
Here's a website detailing the rules: http://grammartips.homestead.com/caps.html
Hope this helps! :)