Give some details on your vehicle, year, engine, tranny,
On my 92 it has the A.D.D. and the switch that activates the light is in the front differential where a vacuum diaphragm locks the axel only when it is fully engaged will the light come on.
I had the vacuum line disconnect at the differential that caused it not to engage.
Most probable cause is a vacuum line came off the VSV valve on the fender in the engine compartment or the valve is faulty itself.
2003 F.S.M.:
http://personal.utulsa.edu/~nathan-b...26addcontr.pdf
Good Luck!