You did not mention if you had 4 wheel drive, or which 4-wheel drive it is. There are several versions available for Jeeps. Maybe the orange lamp is the 4-wheel drive lamp. On my Cherokee, the orange lamp signals that the transfer case is in "part-time" 4-wheel mode, and a green lamp signals "full-time" 4-wheel mode. No lamps indicate normal, rear wheel only drive. On mine, I have two more positions. The third position is a 'neutal' between modes and the forth is low-gear-part-time mode. The center differential is active only in the full-time mode; it is locked in part-time modes and should not be used on surfaces where the wheels can get a good grip. The part-time mode should be engaged only when the wheel can slip such as on mud, gravel, dirt, and snow with no bare spots to the paving. Damage to the drive line may result when the part-time mode is engaged and used on dry or grippy surfaces. [When the center differential is locked, both front and rear drive shafts are forced to turn at the same speed - handy for getting out of a mudhole, but gives poor steering since the front wheels are forced to turn at the same speed as the rears.]

The transfer case can be 'caught' between modes. If it is a neutral position, there is no drive to any wheels.

The transfer case indicator lamps can and do burn out. In that case, the driver must rely on feel and past enperience. My green lamp is out right now and I am waiting for warmer weather to re-lamp the entire dash.