There are a few reasons why a Proximity Trigger may not work.
1. Make sure that the Activate Object property is set correctly and that the object that it is set to is the object you are using to try and trigger the Behavior. Normally this is the Player.
2. Make sure that the Proximity property of the Triggers\Proximity Trigger is set correctly. If the value is too small you may not be able to get close enough to trigger, especially if the proximity trigger is positioned some distance above the ground. A value of 500 or more is usually a good default.
3. Make sure the Trigger Activate and Trigger Activate Event properties are set correctly so that the Proximity Trigger actually does something when triggered.