Auto transmission problem when engine is cold.

While driving along car drops back a gear and wont change up or down. Check gearbox light comes up on dash. I switch off engine and restart, everything returns to normal. This can happen two or three times until car is at operating temperature. Car runs fine when warm. Also a whistling noise becomes audible when car is put in gear. Dont know if this is part of the same problem. Please shed some light on this matter.