Garmin Training Centre can be installed onto your PC. It has a workouts section that can be uploaded to your Garmin device (via the ANT+ stick). You can create your own workouts, with different sections so that you can create interval sessions and tempo sessions with warm up/cool down periods. You can also download a ready-made schedule from the training section of this web site.
I've just tried using the Garmin Connect web site to create workouts and upload to my 405CX - unfortunately it only seems to be able to copy one workout at a time to my watch, and this over-writes the previous one. So Training Centre is much better as it can upload a whole schedule (i.e do this workout on this date) to your device.