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You have to open up the dash and remove the instrument cluster to get to the lights. Do a search on the forum, there are some instructions floating around. My Chilton manual also describes how to do it as well.
My '01 F250 SD does the same thing. I decided I can live with it since it is an incredible amount of work just to change one stupid little bulb. I know what you mean though, it is rather annoying not to have 4X4 indication. Does your 4XLow light still work?
Rezvani's Latest Post-Apocalytic Monster Is a Ford F-150 Raptor Underneath
Slideshow: Called the Fortress, the 850-horsepower pickup combines Raptor underpinnings with military-inspired features, survival equipment, and a starting price of $285,000.