A vehicle that comes with four-wheel drive, when selected, has the ability to use all four wheels to power itself. This increases traction, which may enable you to safely drive over terrain and road conditions that a conventional two-wheel drive vehicle cannot.
On some four-wheel drive models, the initial shift from two-wheel drive to four-wheel drive while the vehicle is moving can cause a momentary clunk and ratcheting sound. These sounds are normal as the front drivetrain comes up to speed and are not cause for concern.