I want to build a site that offers online courses...

[oshopz]

I would like the user to pay for the examination first, and then do the exam online, and user will receive a certificate later that he/she can print out.

Is this possible via Magento?

[Pronto]

Magento supports things called Virtual Products. There're extensions that add serial number to such items than can be used to identify purchaser and link her to the rest of the process (examination, certificate, etc).