I did a similar thing in my parents Expedition, I finally read what I was doing wrong, it HAS to be in neutral and you HAVE to have the brake on (and going less than 5 mph) to be able to shift out of 4wd low. There is a fuse also, in the high amp box under the hood #104 is the 4x4 Shift Motor & Clutch fuse (it is a 30A maxi fuse).