On the 2002-2005 Explorers the blend door actuator is more likely to fail than the blend door itself. This is a good thing as the actuator is easy to replace compared to fixing the door. The actuator is the white plastic cassette looking thing that is bolted to the airbox on the driver's side and has one electric connector attached. It is pretty close to your right shin when you are driving. You need to remove the lower trim panel from the steering column, the left dash brace, the center console, and the left floor air duct to gain access to the blend door actuator. I would take it out and leave it connected to the elect connector and watch if it tuns it's drive hub when you change the temp selector. If not it has stripped out the cheap plastic gears inside. Replace the actuator and you are good to go.

If the actuator is working correctly then you have a busted blend door. Here is an option for repairing it: Ford Explorer 02-08 Incidentially, the 4th and 5th pictures down in that page also show the actuator.

Good luck, let us know what you find out.