This is, I realise, a really dumb question. But I really need some help.

We have just bought a Pajero 3.5 GLS with a auto transmission.

Thing is, I can't figure out the 4x4 operation. I am able to shift into 4WD whilst we are moving, but when I move the lever back into 2WD afterwards, the lights for the front wheels continue to flash on the dash console.

The only way to stop this is to pull over, turn off the car and restart it.

how are you supposed to change from 4WD to 2WD? Is there possibly a problem with our car? I thought these cars had shift-on-the-fly gearboxes, so I am VERY confused... :(

The only dumb question is the one that is not asked. This topic has been covered in previious disscussions in the forum (look back a few pages). Very simply the 4wd lights will continue to flash until the front wheels are dissengaged. It can tell this by a number of sensors on the transfer box and front drive train. My guess is that by your description is that one of the sensors is faulty and it cannot reconize dissengagement. Rather than shut the truck off try and reverse and tap the brakes a few times. If this works then it may be a locked hub.

Jim

Another possibility is that the actuator is sticking a little ..
This happens if the previous owner didn't use 4wd much ..

Try putting it into 4wd .. back to 2wd ..reverse a little while turning the steering
a little side to side ..repeat this about 10 times and it should free up .
Otherwise there may be either a faulty actuator ..or one of the connectors or vacuum lines may be either leaking or undone.