SELECT NEUTRAL message usually means you have tried to select a drive gear before the ratio change has been completed...
Try this:
Engine Running
Put Gear Selector in Neutral
Push across to Passenger (Low Range)
Wait for the selector panel lights to stop flashing and the beeps to stop
Select D (or a gear number)
Stop
Put Gear Selector back into Neutral
Pull Lever back to Drivers Side (High Range)
Wait for the lights and beeps again
Select D and off you go!
If you have waited for the lights and beeps and yet when you select a drive gear you still get the Select Neutral message, it could mean the shift motor switch pack is going south!