The setting for the list throttle
•Open the SharePoint Central Administration,
•go to Application Management --> Manage Web Applications
•Click to select the web application that hosts your list (eg. SharePoint - 80)
•At the Ribbon, select the General Settings and select Resource Throttling
•Then, you can see the 5000 List View Threshold limit and you can edit the value you want.
•Click OK to save it.
For addtional reading: http://blogs.msdn.com/b/dinaayoub/archive/2010/04/22/sharepoint-2010-how-to-change-the-list-view-threshold.aspx