First check for any damage to the wiring at the transfer box, you may have snagged something and damaged the loom, start here.

I was just told the 4x4 does NOT have to be engaged. As soon as a fuse is put in it blows. Would the transfer box still be the first place to look?

i would still look there just to make sure all is well, it will be quire evident if there is a problem, then check out the button, see how you go