Just guessing here, but I'm thinkin' your transfer case has not made the electrical/mechanical "transfer" of power. Try shifting your transmission into neutral and then shift your transfer case into 4lo and do some slow-speed driving observing any odd noises. Next, shift the transfer case back into 4hi while once again having the transmission in neutral and then proceed to do some slow speed driving and gradually increase speed and see if that helps. Shifting from forward to reverse and then back again can also sometimes help. Just a thought, give it a try, costs nothin'...Best of luck!