2001 Ford Ranger four wheel drive

My four wheel drive will not engage. It has an automatic 3-position switch on the dash. When I turn it into 4x4 high or low nothing happens. Usually I hear a click click sound and a orange light near the battery meter comes on. My buddy and me tested my swith for continuity and the conector for voltage. Everything was good. Were do the wires from the switch go and what would possibly be the problem. We are guessing there is a bad relay or solenoid.