Yes you can change it as a global setting in the GPS, but incidentally don't confuse this with proximity as in a 'Proximity Waypoint' which is a special thing (and possibly useful for up-coming Info Controls, but not much else unless you happen to be navigating a minefield).
The setting is in an odd place (aren't they all) it's to be found in the Routes page (NB not Routing Setup).
Then it's the Menu button (ie bottom L-H button) and 'Off Road Transition', take it off 'Auto' (the default, works for me ;- ) and set a distance.
If you ever want to set Proximity for an individual waypoint you can do it either in Mapsource or in the GPS - on the GPS you would open a Waypoint, again use the Menu button, and then 'Set Proximity'.
On some units (depends on software version I think) you can also set the global Proximity Waypoint beeps to only fire on approach, and not a 2nd time on leaving (very annoying). That's in the Tones Setup menu.