1996 Audi A4 brake problem

You need to start with a simple brake inspection. Any shop can do that for you. They will determine if the linings are worn down and you're hearing the metal-on-metal grinding, or if the anti-lock brake system is activating when it shouldn't be. Most commonly that is a wheel speed sensor problem.

The anti-lock system is likely not working at all if the yellow warning light doesn't turn on for a few seconds each time you start the engine. It's possible the bulb is just burned out but that is pretty rare because it doesn't see very much use. More commonly the system was disabled by someone who removed two fuses. All anti-lock brake systems and air bag systems have two fuses. That's so one circuit is there to turn on the warning light if the other fuse blows.