Is the Explorer a 5.0 model?
You could definately change it from 4x2 to 4x4 or AWD if it is. I'm sure it is a fairly involved process, but it can be done. I'm 99% sure that something would have to be done to the transmission though. Any 4R70W tranny that came on a 4x4 model (Explorer (AWD), F-150, etc.) should, in theory, work. I'm not sure if there would be any wiring issues from year to year, so you'll definately want to do some research before you start grabbing parts. If you decide to go 4x4, you have your choice between a manual BW4406 and an electric shift BW4406. The manual shift allows you to retain your stock gas tank, but of course, you have to cut a hole in the floor for the shifter. The electric shift version requires that you use a sport gas tank. You also need to get a GEM from a same year 4x4 V6 Explorer. A few other misc. parts are needed as well. For either BW4406 swap, you'll need the front driveshaft from a 97-01 4x4 F150 and a rear driveshaft from a 97-01 4x4 Expedition/Navigator with the 5.4 engine.
I've been doing some research on the BW4406 swap myself... I plan to begin very soon.