in the question it said you have a YJ but in the description it says you have a CJ... The reason that you might not have four wheel drive working would be a problem with the transfer case, it might need to be replaced or serviced. but the light not coming on might just be an electrical problem such as a bad relay, fuse, or burnt out bulb. so if you want to see if you have working 4wd, get two people and have someone watch you get into some mud and put the pedal to the floor. the observer will either see 4 wheels spinning or two, if two, its the transfer case.