If the car was already driving when the switch got flicked then odds are the light just came on and it didn't actually engage 4X4 Low. Believe me you would've known if it was actually engaged in "low" and 4x4, as Low will have a top speed wound out at roughly 30 - 45 MPH if I had to guess (Never really wound my truck out to find out how fast it goes in low) and if it's in 4x4 atleast in my Navi it locks all the diferentials as well making turning on Pavement a bitch.. You'll hear tire screeching, and shuttering etc.. etc..
I can't attest for all Fords, but I know for atleast my truck you have to put the truck in Park (or maybe neutral?) and then flip the switch, you'll hear some noises going on in the running gear, and then you'll feel it engage everything. Then it's all locked up, to get it out of 4x4 mode you have to again put it in Park (or neutral?) and flip the switch back the other way to normal, and you'll hear it all disenage. If the switch is flipped but that didn't take place then usually the light will light up, but it's not actually engaged.
Read the owners manual for the right directions on how to engage and disengage 4x4, and 4x4 low.
RD