i had the same issue. couple things to check quick.
when you start the truck does the 4hi and 4lo lights come on?
when you move the dial do you hear a click coming from the pass kick panel?
did you recent change battery or disconnect battery or have to be jumped off or even jump someone.
you more than likely need the 4wd control module,,its just a relay that the dealer wants 288.87 for. go to a local salvage yard and tell them what you need for a 95+ explorer or 98+ ranger. same location on the explorers on the kick panel.
2001 Ford Ranger Supercab 4x4 Off-Road, 3.0 Auto
Sirius Starbase, 06 XLT Emblems, Silverstar headlights
2 Pro Comp 100 Watt lights on JM Light Tabs
265/75/16 Maxxis Buckshot Mudders