How do you know when your in A4WD?

You should have a light for 4x4 high and a light for 4x4 low,If you have no lights,The 4x4 is not working.

That is correct.
In this setting the PCM controls this for you and will engage 4WD when needed. It does this by monitoring speed sensors for slippage and controls the locking/unlocking of the front hubs with a vacuum controlled solenoid.

Here is copy of the page in owners manual

If equipped with the Control Trac 4x4 System, and 4L (4x4 LOW)
is selected while the vehicle is moving, the system will not
engage. This is normal and should be no reason for concern.
Before 4L (4x4 LOW) can be engaged, the vehicle must be
brought to a complete stop, the brake pedal depressed and the
transmission placed in N (Neutral).
The vehicle should not be operated in 4H (4x4 HIGH) or 4L (4x4 LOW)
on dry pavement. Doing so could result in difficult disengagement of the
transfer case, increased tire wear, decreased fuel economy and may
damage driveline components.
Your 4x4 features the heavy-duty Control Trac system which includes a
computer-operated transfer case. This unique system is interactive with
the road, continually monitoring and adjusting torque delivery to the
front and rear wheels to optimize vehicle control.
System indicator lights
The Control Trac system indicator lights illuminate only under the
following conditions. If these lights illuminate when driving in 2H or
A4WD, contact your authorized dealer as soon as possible.
• 4X4 HIGH - momentarily
illuminates when the vehicle is
started. Illuminates when 4H is
selected.
• 4X4 LOW – momentarily
illuminates when the vehicle is
started. Illuminates when 4L is
selected.
Positions of the Control Trac system
The Control Trac system functions
in four modes:
• 2H (2WD HIGH) delivers power
to the rear wheels only. This is
appropriate for normal on-road
driving on dry pavement.
• A4WD (4X4 AUTO) provides
electronic control four-wheel
drive with power delivered to all
four wheels, as required, for
increased traction. This is appropriate for all on-road driving
conditions, such as dry road surfaces, wet pavement, snow or gravel.
4x4
HIGH
4x4
LOW
2006 Expedition (exd)
Owners Guide (post-2002-fmt)
USA (

If you have an owner manual it will tell you how it works and it will tell you a lot about your expedition if you do not have one in the glove box see if the dealer or person you got it from keep help you out in getting it to you.

No you have it reversed....if the light is on its in awd if its off its not