Same thing happened to my 2003 JD 250.
Here is where to begin. Like ca. said
Lift the cab. Between your legs there is going to be a series of three solenoids on the floor.
- Get or buy a Multimeter and set for DC current. Taking one connector off at a time check for power. Once you find the solenoid cables that are positive/positive instead of positive/negative you have found your culprit.
- Luckily the solenoids come off pretty easy. To check to see if that is the failed solenoid attach one wire to a ground and one to the battery. Then touch each wire to a post in the solenoid. If it clicks your solenoid is fine. If it doesn't it needs to be replaced.
- Now the bad news. Since your machine was manf. before 2004 as was mine. You did not have a jumper in between your solenoids and your main control unit. It is possible that your whole control unit is fried and will need to be replaced. Mine did. To see you will have to remove the control unit and smell it at the back of it next to the control unit where it plugs in. If it smells burnt. Well its burnt. If it doesn't you may be OK with just replacing the solenoid. If it is burnt when you get the new MCU it will have a jumper in it.
-Cost $550 for main control unit
- $160 for solenoid
I found all this out by trial and error. I am not a mechanic and at times I did have to hire help to work out the kinks. On a side note I would reccommend hiring have a John Deere dealership to install the electrical parts since if they fail they will cover the cost of the parts and can get new ones.
If you buy the parts and find out you didn't need them. You still get them. Ask the guy who bought me JD about his extra solenoid.

Also as a last resort. Maybe just check the fuse panel and make sure all you fuses are good. It can't hurt to be lucky once in awhile.
Good Luck and let me know if I can help
Dozer