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I am assuming the 4x4 indicator light is on and the front driveshaft does turn. Then the problem is that the right axle is not locking. Remove the cover in front of the vacuum actuator on the differential. Remove the vacuum lines. With the engine running, place the 4x4 selector in 4x4. There should be good vacuum on one of the lines (15in or more). If not check the line for a break in it. If you have vacuum, put lines back on and have someone switch it from 2WD to 4WD and watch to see if the acuator arm moves back and forth. If it does the shift fork inside the axle is probably broken. If it doesn"t move, remove the actuator and retest it. If it doesn"t move replace it, if it does, check the lever on the front diff. to see if it moves freely, it may be seized up. If it doesn't, it will need to be removed, cleaned up and lubed.
I had posted the same issue several weeks ago - try a search and you'll come up with lots to try. I still haven't got mine working while trying most of the stuff recommended here. It goes to, gulp, a Ford dealership on Tuesday - my true next-to-last option (the last option, quickly approaching, is. . .a different truck). Good luck with getting your 4x4 working! And once again, will ANY truck manufacturer PLEASE offer a manual transfer shift with manual hubs?? Some of us ain't afraid of, dare I say, shifting manually and locking the hubs ourselves - I'd much prefer a vehicle where such a critical function works - reliably. [How many inexpensive vac lines, fittings, solenoids, switches, wiring, connectors, diaphragms, etc, are there in this system? If that cheapo plastic solenoid sticks or fails, or one of those hard vac lines leaks, etc. you loose 4x4 operation - truely a stupid idea - IMHO.]