[Jimmy58]

ginas930, first of all to answer your question yes there is a control modual for your transfer case. It is on the passenger side kick panel. If your lights are lit at the same time and the dash light is on the first thing I would do is to go to a tranny shop and have the codes read from the tcscm and then procede from there. Most shops will charge a modest fee for this service and some shops wont have the right scanner to read them. I would avoid the dealer as I have found them to be mostly useless. After you get the codes you can find what the codes mean on the web... ALLDATADIY. com being one of many out there. Just from your explanation it sounds like the control modual is toast but that is just a guess. I just went through the whole system on a 99 so am prity up to date on the system.
Is the front axle locked or unlocked? Do you have vacuum through the switch on the firewall? if you do the front axle will ( or should be) locked. Not good to drive on dry pavement with the front axle locked. You have 2 speed sensors on the transfer case, one for rear output speed and one for front output speed. These have to match to get a shift.
One more thing I found out. your transfer case will only try to shift one time per ignition key cycle. As muddog321 has said, pull the 4wd fuse in the ip fuse panel and the ATC fuse in the underhood panel and let it set for at least 30 min. Put your fuses back in and try it. Let us know
Nick