Hai guise. I just bought a nice little 95 with only 90k on the odometer, but it has plenty of problems that I'll be sure to be asking you all about, lol
First off, however, is that it is stuck in 4wd hi. The indicator light is always illuminated with the key on, and hitting any of the other buttons does absolutely nothing. It's definitely in 4-hi, though. So where should I start diagnosing this thing?

 

Are you putting it in neutral when you try to put it back in 2HI?

If so, do the lights flash at all or does absolutely nothing happen?

If nothing happens, you could be looking at the switch on the dash being bad.

If it flashes and acts like it tries to go into 2HI you could be looking at the motor on the transfer case that switches it between 2/4 hi/lo being bad.

 

Check this out: NV233 No Mode Switch (ie. 2HI to 4HI)

Also, the link below may provide some ideas on where to look:
Common 4x4 Problems