4th gen vehicles with 4x4/AWD are always in some form of AWD mode. When you start the vehicle, it will be in 4x4-Auto. V6 models will have some torque going to all wheels all the time, and change that torque split if slip is detected. V8 models will have torque going to the rear wheels only in normal conditions, and push torque to the front as needed.
But if you are on road where you don't want to wait for auto-sensing, you can lock the center differential 50/50. With the Explorers, that's the 4x4-hi hot-button. With the Mountaineers, you go into the dash menu system, and select AWD-Lock. This will have much better performance in snow covered roads, or off-road. It is also better for the system, so it's not constantly engaging/disengaging. Much smoother operation when the roads are bad. But if roads are only wet or dry, DO NOT lock the center diff. Use Auto/normal mode. Lock the diff is only when you are on ice, or a deformable surface like snow, sand, mud, etc.
The Explorer will also have a 4x4-low mode (Mounty does not). That's for severe off-road use only.