Don't want to sound like an #$%* but did you release the parking brake all the way? I've only ever owned Ford pickups (95 Ranger, 96 F-150, and now a 94 Bronco). If the design hasn't changed (floor pedal parking brake), I know I've had a few instances when the parking brake wouldn't release all the way (usually pulling the lever too quickly).
Is it the push-button or dial switch 4WD selector? It may still be engaged and you just need to rock it out. Or, it may be similar to a fault light.