Training wheels are originally the kind of wheels you put on a child's bike when he/she is learning to ride a bike. A training wheels interface or application is a program/device/system that disables or hides advanced features so novices can learn the system faster in a protected environment where experimentation is safe and encouraged. The user may then enter the advanced mode when he/she feels ready to be exposed to the full functionality/complexity of the system.
The term most likely derives from Carroll and Carrithers (1984) who designed a training wheels interface for a commercial word processor. Their goal was to save users from the frustration and confusion caused by the errors they make in the early stages of learning. That way the user would have the ideal environment for building a coherent mental model of the system, resulting in better performance and learnability of the advanced functions after the initial 'training wheels phase'.