There are a few easy, yes very easy and will only take a minute or two, places to troubl shoot. First are you sure it ingaged the front axel when you shifted into 4wd? Did the front end try to fight you ? There is a vacume motor on the front axel,passenger side, on the back of the axel. put vehicle in 2wd, note position of vac motor, engage 4wd make sure you rock the truck a few times, and note position. Did it change? If not check for vacume at the vac motor, there should always be vac on one of the two line, one pulls it in, the other pulls it out. If thats working, right on top of the vac motor, is a position switch, it is the switch that confirms that the engagement, or disengagement has taken place (turns the light on , or off on the dash), make sure the harness is pluged-in. If still nothing look for a blow fuse, check wiring.
Post edited after complaint, please keep it civil