4WD HI on dry pavement?

[HaPpIlYmArRiEd1]

We had a snow storm today. Was in a trailblazer. On my way home from work the street seemed okay but kept it in 4wd in case.
Drove for about 20min and went to turn a corner and heard a loud noise, car seemed to lock up, and smelt burning ever since. Did i mess something up?