Try Kuala Lumpur Dance Association la.. Their studio is situated at Wisma OCM, opposite Stadium Negara at Jln. Hang Jebat. I think they are teaching a lot of dances, but i can't remember. Heard that they have a Cuban instructor to teach Latin dance.

Also, there is a hotel next to the Pavillion (can't remember the name at the moment) that teaches ballroom dancing for RM40.00 per lesson. The instructor is a patience person according to some of the ppl that go there, so if you are a slow learner, can try there la..