Firstly, jack your vehicle up and place on four axle stands so all wheels are well clear of the floor, and the vehicle is safe; start the engine and select first gear, and four high, let the clutch out and look underneath to ensure the front propellor shaft is turning.
If the front prop is not turning, the problem is in the transfer case, it is not selecting four wheel drive, this is most likely to be the actuator not selecting or the sleeve gear is not engaging for some reason.
If the front prop shaft is turning, the problem is in the front axle, or the freewheel hubs, hubs will only engage with relative motion, i.e. the front axle shafts are turning, or the vehicle is travelling downhill and the wheels are turning, this relative motion is what engages the hubs.
Undo the hubs and ensure they are free and operate, if not the common problem as corrosion from dirt or wet, clean them out and free them off, rebuild them and fill with plenty of grease, this grease also lubricates the front wheel bearings, and should be replaced regularly.