About four months ago I experienced a very similar gear slippage problem with my 2000 Mercedes-Benz CLK 230 cabriolet when changing from third to fourth. I steered clear of the Mercedes dealers and took it to a local auto guy. He stated that it could be either a $10 return spring - apparently a common fault - or third gear has gone. Unfortunately it was the latter, but he fixed it for reasonable $1700, and car goes great. I would suggest Bernie (Carsguide, February 7) steers clear of the dealer and go to a reputable automatic transmission place, and save heaps.
It's always a good idea to get a second opinion when facing the prospect of a large repair bill on something like an automatic transmission. Independent specialists who are working on automatic transmissions all the time often have greater knowledge about them than the dealership mechanics who don't work on them every day.