1) Make a new document with transparent background
2)Useing the Elliptical Marquee Tool from the tool bar (holding shift) make a circle on your document
3) hit D then hit the arrow swaping the foreground and background colors
4) select the radial gradient tool (With the foreground to background Gradient) and select a spot somwhat off center and drag in diagonal to the farthest away edge

5) It looks pretty cool now but were gunna add to it a bit go to Image>adjustments>curves and play with the settings untill they suit you

there you have your Sphere you can add some background color then add some color to the sphere with Hue/Satueration if you like
you can also add drop shadows ect
Final Result: