The actuator old_master is talking about is located under the battery, you have one for sure. When you shift into 4wd(hi or lo, doesn't matter) the vacuum is applied to the actuator to lock the front differential so your front wheels engage. Usual problems are the vacuum apply solonoid, located on top of the transfer case, the vacuum lines can be damaged/kinked/corroded, or the actuator diaphram is torn/cracked and will not hold vaccuum to lock the front differential.
Like old master said, check for vacuum at the actuator, under your battery, when you shift into 4wd, there should be vacuum there, if there isn't you have to see why is not getting vacuum. If you have vacuum at the actuator, check the actuator, or the cable to the differential.
MT's refernce is a great write-up on these sytems and gives you an idea how this sytem works, worth taking a look at.
Hope this helps.