This is sort of the holy grail of chess training sofware ... something that substitutes for a human Master/GM level coach instructing and critiquing you whenever you needed it.
Till date, I believe nothing comes close to the quality of instruction/critique of a good human coach, though software that tries to offer some kind of interactive feedback-based training include:
- Ubisoft's ChessMaster.Ubisoft's ChessMaster.
- Very rudimentary feedback + post-mortem move analysis. The cheapest of the three ... the move-by-move feedback is usually mostly suited for tactical errors. Good for people just starting out using computers to train with.
- Chessbase's Fritz
- Probably the best bang for your buck of the three, given the quality of feedback and lots of bells and whistles. A fairly annoying/helpful "coach" who will flag any error you make (though doesn't clearly explain why it was a mistake). Features such as explaining (or more or less summarizing) the benefits of each move in a given position, a hotness indicator for how critical or "on the edge of a cliff" a position becomes.
- Chess.com's Chess Mentor
- The most "human" like feedback but these are pre-programmed scenarios based on instructional positions you have to play through, rather than your own games.
Once again, these all fall short of explaining nuances in a way that you are guaranteed to understand (a human coach can figure out precisely what doesn't make sense to you and focus on that mental roadblock!) , though if you are not really intermediate-strength level yet, software such as the kind listed above might be of some help.