2003 Ford Explorer check transmission

Your PCM has detected a problem with the transmission.
Diagnosis begins with checking for other symptoms.
Is the fluid level and condition ok? Fluid should be at the proper level, and should be of a transparent reddish color. It should have an oily smell to it, but not a burned smell.

Is the transmission shifting through all gears? Is it engaging normally? Slipping?

Next, check for codes. When the MIL lights go on, it means that there is an abnormal condition in the operation of the transmission. If other checks were OK, you probably have a bad sensor or solenoid. Trouble codes can direct you to the problem circuit.