Engage 4 wheel drive and put it in gear, jack up one side of the front axle so that only one wheel is off the ground. Try turning the wheel by hand. If you can turn it a full turn then something is wrong. If you can turn the wheel more than 1 turn then watch the front propshaft while you're turning the wheel. If the propshaft turns with the wheel then 4 wheel drive is not engaging in the gearbox. If the propshaft is not turning then something is wrong with the front axle. Have you got freewheeling hubs? If so then one of those may not be engaging. Otherwise one of the halfshafts or the diff is probably broken.
 
i had that, it was worn splines on the outer driveshaft and flange on one side, made a bit of a noise too, remove front flanges to check outer splines
 
As Fenby's say's, only use a wheel wrench on one of the wheel nuts to give a bit of leverage just to make sure the splines are not holding just a little.
But dont rock the vehicle off the jack.
I had a simlar problem with mine, which turned out to be an issue with the selector, not the axle.
 

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