If the noise happens while changing the heater temperature, it is very likely to be the temperature blend door actuator.
If that's the case, reference the Related Questions below for a detailed discussion on how to replace the blend door actuator yourself in only 30 minutes.
Driving at 50mph or above what causes a loud knocking clicking sound during acceleration?
Knocking is usually associated with worn main and rod bearings.
What causes a hard rattling knocking sound under the hood when you start your 98 ford windstar? Lack of oil, lack of oil pressure, badly worn camshaft or crankshaft or a combination of all the above.
What causes. Clicking. In my left ear only
From the information provided, it sounds like you're dangerously low on oil.
Although the clicking sound is a primary symptom of a failed temperature blend door actuator motor - one of the most common failures on Windstars - that doesn't mean the part is working.The "Related Questions" below address a wide variety of other causes of "no-heat" problems.
Binding in the linkage, bad windshield washer motor
a dog
cv joints
A little kid in the trunk with a hammer
You forgot to let your wife in
Mine did the same, mine was a motor mount.