I believe your talking about the electric motor that engages the transfer case? It is located on the bottom of the transfer case, looking up at it you'll see a connector with two wires going into it, further up there is another connector with 6-8 wires I really dont remember, anyways that where its located.

You could also check to see if your relays are working, I think the only way to check is just to buy two news one, which are pretty cheap. On my 2001 5.4 v8 they were next to the fuse box under the hood. Looking straight on from the head light the relay box sat off to the left (passenger side) there is another one (at least on mine) directly in front of the fuse box which is for a trailer break system.