On the back side of the transfer case is an electric motor that turns the Shift rod to select 2WD, 4Hi, 4Low
These often quit working from disuse
Tap on this motor with a wrench or ??
Then try shifting from the cab switch
In any case that would be your next stop, because even if it starts to work it WILL quit again, so needs to be rebuilt or replaced
The 4x4 module sends this motor 12v/Ground on 2 wires, since motor needs to spin clockwise and also counter clockwise(to return to previous selection) the 4x4 module reverses the 12v/Ground wires to move shift rod to desired position
To "know" the correct position there are 4 to 5 other wires on the shift motor housing, these tell 4x4 module "what position" the shift rod is in, AND........this position also activates the dash lights for 4hi and 4low
i.e. You select 4hi, 4x4 module powers the motor to turn shift rod to 4hi, when specific contacts in the motor housing "close" 4x4 module "knows" shift rod is in correct position so it stops the motor, and 4hi light comes on(if bulb is good)
When you turn on the key these light will often come on and then go off, that is a "Bulb test", not a 4WD test
Tips on shift motor here:
http://www.therangerstation.com/tech_library/TCaseshiftmotor.shtml
And here:
http://www.explorerforum.com/forums/index.php?threads/how-to-rebuild-4x4-shift-motor.123542/
You should shift the 4WD system once a month, 2WD to 4hi, then to 4low then back to 2WD, you do not have to move the truck, just shift it, this keeps motor's brushes clean, gears lubed and shift rod loose.
And if there IS a problem, better to find out now than when you actually NEED 4WD, lol