If correct lights are showing on the dash then transfer case has shifted, the lights are connected to the shift linkage so for the light to come on the shift motor has to actually move the linkage.
Light not changing would be a sign of shift motor problem.
Mikerider is correct in suggesting your automatic front hubs as being the problem.
1998-2000 Rangers used PVH(pulse vacuum hubs) which proved to be a problem as they aged.
The vacuum lines going to the wheels would crack and leak, and O-ring inside the hub would leak.
Troubleshooting article here: Ford Ranger How To: Troubleshoot/Fix Your PVH Hubs (1998-2000)
Permanently lock hubs here: Permanently Lock Your 1998-2000 Ford Ranger PVH Pulse Vacuum Hubs
Manual locking hub change here: 1998-2000 Ford Ranger Rugged Ridge (AVM) Locking Hubs