Strange Noise After Using 4Wd

Hi Guys

I have recently bought a Ford Ranger 2006 2.5TD

It has 80k on it. no major faults so far bought it 3 months ago.

Today was first sign of snow in the Borders and I popped it into 4wd. The pickup has Auto F.W.D by means of a switch near the steering wheel. All the lights came on to indicate 4wd was in use and I pulled away without slipping. I read the manual many of times on using 4wd as this is my first 4wd.

I know I can switch between 4wd and 2wd as long as the F.W.D light is still on, so this I done, and once in 2wd I pressed the F.W.D to disengage and the car started making a noise, sounds like the fan belt slipping but it was coming from the rear / front wheels, not sure which.

After driving along at 30mpg for 5 mins the noise was still there and then the F.W.D light came on again. I drove a little bit more and touched the brake as I was nearing a corner, the pickup made a loud thump noise, and the high pitch noise (fan belt sound) stopped, and then no more issues.

Any clues as to what it could be?

I'm thinking it could be the linkage, and that the pickup isn't disengaging as it should? Would this be expensive to fix?

Cheers