Does anyone ever crack their owner's manual anymore??
Page 136 of your owner's manual states,
"Shifting from 2wd (2wd high) to 4x4 high (4wd high)
Move the 4wd control to the 4x4 HIGH position.
--At temperatures below 0*C (32*F), shifts should not be performed above 72 km/h (45 mph). Do not shift into 4x4high with the rear wheels slipping.
Shifting from 4x4high to 2wd high
Move the 4wd control to 2wd at any forward speed.
--You DO NOT need to operate the vehicle in reverse to disengage the 4wd system."
Now, keep in mind, the above-stated rules do NOT apply to all second-gen Explorers, just the '01 Sports.
-Joe