This is absolutely normal. It's your drive line binding. You should NOT drive in 4wd on any high traction surface, IE asphalt. What happens is your front and rear drive shafts are traveling at the same rate of speed when your going straight, but when you turn, your front wants to go faster than the rear, but your t-case won't allow for any difference in speed so binding occurs. Newer rigs have a differential in the t-case which allows for some slippage so you can drive on the street in 4wd.

If this doesn't make sense, do a search on the board for "binding" and I'm sure you will come up with better explanations because this is a very common question for a 4wd newcomer.