What training schedule are you using? I would recommend Tugs Training if your unsure about it. (Just Google search Tugs Training Football Manager 2009)
Click on the little icon in the task bar near the top of the screen with the ball and the red cone.
Then on the navigation side bar click on Coaches (it will be under "Players" which is in blue). Then click on the little black dot next to their name and on the right hand side you will see their "Assignments". On there, choose what you want each coach to do!