Your proposal:
www.mysite.com/course1
www.mysite.com/course2
www.mysite.com/course3
would work as you require. This is not sub-domains by the way, these are directories, subdomains would look like this course1.mysite.com, course2.mysite.com, etc...
There may be a way, using symlinks (shortcuts) to only require the actual code to reside in one of those directories and just have different configuration files in each. Not sure whether you would need seperate databases for each, probably.