Almost certainly the overdrive relay.

Part number is 3523804. It's one of the tallest relays in your fuse box.

In a typical 940/ 940 Turbo, the method to access relay is:

Hold brake. Key on. Move lever from Park to N or D. Remove ashtray/ fusebox access cover by pulling up at bottom, in front of shift lever.

Return shift lever to Park. For the next part, you'll need a Torx screwdriver, and/or possibly a phillips head screwdriver.

Remove the cigarette lighter. Grab the cover for the lighter socket with your thumb in the lighter hole and slide the plastic piece to the right inside the coin tray. It should snap right out easily.

Behind the trim, in the upper and lower left corner, there are 2 screws. They come out at odd angles. Remove them.

The coin box pulls out toward you, and can hang on the wires of the cigarette lighter. Use a flashlight to look into your dashboard. You'll be looking at the tops of the relays, like a little plastic city in there.

The OD relay should be in the front left of the fusebox. Its tall and skinny, and with a light you can read the part number 3523804 possibly. They're usually white with black printing.

Confirm that the relay clicks or does not click, by turning on the key, and operating the OD button on the shifter. You can physically feel a little click in a functioning relay. Nothing inside here can shock you or burn you, though some relays may be warm.

The relay simply pulls straight up out of the socket. Install a new one or read the FAQ about how some people repair solder joints inside relays, if you're a do it yourself type. Observe that the serial numbers face the same way when plugging it back in.

Good luck!
--Rob