You should immediately:
* Stop driving. Continuing to drive with an overheated transmission can cause serious and expensive damage.
* Turn off the engine. Let the transmission cool down.
* Check the transmission fluid level. Do this carefully, as the fluid will be hot. Refer to your owner's manual for the proper procedure. Low fluid is a common cause of overheating.
* Check for leaks. Look for any signs of fluid leaks around the transmission.
If the problem persists after letting the transmission cool and checking the fluid, you need professional diagnosis and repair. Driving with an overheating transmission can lead to costly repairs or even transmission failure.