2002 Explorer switches to 4 LOW when cold

[pwcracer]

This truck works fine in decent weather, but when it gets cold, (I'd say 15 degrees or less) When we go to start the truck up after sitting overnight, it starts up in 4 low. The 4 hi or auto switches will blink when I try to switch back. I have recently been able to get it out of 4 low, by driving it a few feet, placing it in N, shutting it off and restarting it. As soon as it starts I press the 4 auto button several times and it sometimes switches out of 4 low. THe car will then be fine until we park it on a cold night.. My wife is getting upset.

Any thoughts? I was reading on here about a 4wd control module, but never seen a truck select 4 low on it's own when it's cold out... wth.