2002 Chevrolet Trailblazer • 6 cylinder 4WD Automatic • 127,000 miles

I just recently purchased a 2002 chevy trailblazer, 127 k miles. My question is regarding the 4 wheel drive. All lights on turn **** for 4 wheel drive light up at start of vehicle, and also illuminate for 2wd, awd, 4hi and 4 lo when turned to selection. My 4 wheel drive is not engaging. We have taken fuse # 8 out to let it reset and replaced. When I switch from 2, to awd to 4 hi I hear a air noise come from under vehicle. Is this normal? What could my issue be? Transfer case fluid? Reset something? If my 4wd was bad, wouldn't a light appear blinking?- Please help with any hints. I don't understand why its not engaging?
March 12, 2011.

First, make sure you are getting power to the actuator on the transfer case. If you are and can hear it working, check for a vacuum leak to the front axle.