Stuck in third gear

When you crank the car, the third gear light comes on immediately. You can move the gear stick freely through all of the gears, bur still the third gear light stays on. Even with the gas pedal to the floor, the car jolts as if it is not getting gas. There have been a couple of times that I put the car in first and once the car catches speeds equivalent to what speeds are reached in third gear, it will then "pop" out of third gear and allow you to put it in drive.