I got my 02 Sport for a steal partly because the 4x4 Control Module was bad. From what I read its a fairly common failure in these years. When the module is bad you will get exactly what you described, no 4x4, and no lights on the dash switch. Also, if the module was working correctly you would hear a click from the module just a second after flipping the switch to 4WD. The module is located in the passenger foot well. Make sure you buy a replacement module from a vendor that will cross reference the correct part with your vin# as there are several different models. Some vendors on ebay will do this, that is were I got my new replacement for about $150, some models cost a little more.