The Escape has a one gear transfer case. Whenever you "lock" it into 4wd mode it goes into 4HI, there is NO 4Lo. This does not mean that it cant go very far or do very fun things, it just means you cant go where Jeeps and other more properly equiped off road vehicles can go. Now, there are only two years that I am aware of that actually allow you to switch to full time 4wd. The other TO MY KNOWLEDGE only have (if equiped) AWD systems that only send power to the wheels that need it or the ones who have the most traction. Most Escapes come with the standard 2wd set up. They are front wheel drive. If you want to know a little bit more here is a link:
Ford Escape and Ford Sport Trac 4x4s Transfer Cases - 4Wheel and Off-Road Magazine