1994 Volvo 940 Overdrive Issue?

Just bought this Volvo. When I start the car, the orange arrow indicator is illuminated. It shouldn't be on when the car is started. I press the overdrive on the shifter, but nothing happens. I've heard/read that this is a common problem on these cars. What is the common cause and how do I go about fixing it? The car currently doesn't engage 4th gear, so I can't take the car on the highway.