Why won't my Jeep Grand Cherokee go into 4WD?

I just got it yesterday and I don't know if it has been used(the 4 WD i mean). Do I have to push it really hard or jerk it around or anything like that or is it just suposed to move like the regular gear shift?
What gear do I need to have the Jeep in for the 4WD to engage ?
Park,Drive or Neutral??
 
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