4wd light....confused

I have a 2004 SE and my 4wd light comes on when I start the truck but of course goes off right after that. When I put it in 4wd high I can feel it engage and working especially when I turn but can't get it to spin a front tire in the gravel. My dash panel next to my gears shows that it is in 4wd. When I put it on 4Lo the light comes on on the dash as it should and it works great. I have no "slip" or any other lights on on my dash. Any thoughts?