I dont want to sound like your mom but please read the owners manual from cover to cover, I know the manual is very boring to read but it explains the operation and more importantly it also gives you clues throughout the entire manual on what to do and
not to do to avoid problems and to get the
longest life out of you RZR below is a snip-it from the 2008 manual newer or older manuals might be different so read YOURS
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Engaging AWD
The AWD switch may be turned on or off while the vehicle is moving.
Initially, the vehicle's electronic system will not enable the AWD until
the engine RPM is below 3100. Once enabled, the AWD remains
enabled until the AWD switch is turned off. If the switch is turned off
while the demand drive unit is moving, it will not disengage until the
rear wheels regain traction.
Engage the AWD switch before getting into conditions where front
wheel drive may be needed. If the rear wheels are spinning, release the
throttle before switching to AWD.
CAUTION
Switching to AWD while the rear wheels are spinning may cause severe drive shaft and gearcase damage. Always switch to AWD while the rear wheels have traction or are at rest.