Have you crawled under there to look at the linkage? The linkage is very simple, but if it's loose or not connected or even out of adjustment, it's worthless. It's not "push-button" 4 wheel drive. The "handle" is connected to the Transfer Case (the thing that makes 4 wheel drive work) by a EZ Squeegee linkage system.
Note: I found this after a grueling 5 second search on Google.
Originally Posted by 94TwoDoor
The linkage is just a collection of metal pieces that connect the 4WD shift handle inside to the side of the transfer case, look up towards the drivers side of the t-case from underneath with a flashlight while someone shifts the 4wd shifter and you'll see it moving. Just make sure it's actually moving the arm on the T-case. I know mine got pretty rusty and the hinge parts were trashed.