If you're saying that the yellow triangular light in the middle area of the speedo is staying on, it means that the car is stuck in awd. I'd suggest taking it to a repair shop. If you're saying that the squarish indicator light lower in the dash is coming on and staying on that means that there's something not working with the AWD system.
Other than the light is the car behaving any differently than usual? If it is, it would probably be a good idea to call Mercedes directly at 1-800-4-mercedes and check with them about whether the car should be driven.
The 4-matic system is very complex, and differs from just about every other awd system. Consequently I would recommend either a MB dealer's shop or a *very* high volume independent shop for troubleshooting the problem. There are very few 4-matics around and unless someone is familiar, you might spend a lot for someone making potentially a bad guess about the problem.