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According to the manual you may have a bad 2-3 solenoid or shift valve. Take it to the dealer for service. The other possibility is fried clutch packs (common weakness). You should also flush and replace the ATF if it has not been done in 25-30k miles.
I agree with everything "BHP" said, if your car is stock and under warranty then let the dealer handle it but if you have any mods, the A4 tranny is the first weak link you'll find and may want to give these folks a call. www.flp2win.com
Thanks guys for your input, by the way the car has 94,000 miles. I took it to aamco transmission and they figured it was internal damage and it needs an overhauled. By the way what do you think of $1,100 for a complete overhaul including installation and a year warranty?