Ao acessar http://localhost:8080/listar-cursos.php
Já tinha o composer instalado. E dei o comando composer dump-autoload na pasta do projeto, e o comando rodou de boa.
Fatal error: Uncaught Error: Class 'Doctrine\ORM\Tools\Setup' not found in C:\Users\Lucas\Desktop\Alura\PHP\MVC\src\Infra\EntityManagerCreator.php:21 Stack trace: #0 C:\Users\Lucas\Desktop\Alura\PHP\MVC\public\listar-cursos.php(4): Alura\Cursos\Infra\EntityManagerCreator->getEntityManager() #1 {main} thrown in C:\Users\Lucas\Desktop\Alura\PHP\MVC\src\Infra\EntityManagerCreator.php on line 21