Create a new document with gray background (HEX: #616A6F). Then select the circle shape tool, while holding shift, creat a circle with the shape tool.
Next, apply the following gradient settings to the shape.

The colors are (left to right) #FF9C00
-> FBEB00
Next, Apply the following inner shadow settings.
Next, apply the following drop shadow settings.

Next, apply the following bevel and emboss settings

Next, apply the following stroke settings

Now, create a new layer. Then use the elliptical marquee tool and make a small selection in the light part of the orb. (see image).
Then go to SELECT>Feather> enter 2
Then fill the selection with white. Set the opacity of this layer to 70%. If you want, you can move this white spot around a little to a position that you like.
Now use the circle shape tool again, and create a new shape UNDER the orb, this new shape needs to be slightly larger than the orb itself. Remember to hold shift while creating the circle to create a perfect circle.
Next, apply the following gradient settings to the new shape.

and the following dropshadow.

Continue to play around with a few shades and other effects. Here is my final.


