Start off by drawing a circle shape with your ellipse tool, hold shift to make sure you create a perfect circle.

Open up your appearance window by choosing Window > Appearance

We are going to get rid of the default outline on your orb. Click on "Stroke" in the appearance window, and then click the trash can icon to get rid of it.

We are going to add a gradient to our circle. Bring up your color window by choosing Window > Color.

Click on the gradient tab, and change the gradient mode to "Radial" from the dropdown menu. Change the color of your gradient to a light orange to dark orange by clicking on the icons on the left and right of your gradient preview, and then choosing a color from the color picker on the top of the color window.

You should have something like this. You can move the slider on the gradient options to adjust the proportion of light/dark orange.

Create a new layer .

Make another shape with your circle tool, similar to the one shown below. This time make the gradient mode "linear" and change the dark orange color to white. Flip the gradient direction around by typing in an angle of 90.

Click on the transparency tab (right next to the gradient tab) and change the mode to "soft light."

Blur your new shape by choosing Effect > Blur > Gaussian Blur.

You should have a nice ball going by now, its time to add some shine.

Create a new layer, and make another circle shape, slightly smaller than your last one, and in the same position.

Instead of adding a gradient, choose the "fill" option, with a color of white.

Create a new layer, and use your rectangle tool to create a gradient around your new elipse. Change the mode to linear gradient, with colors of black-white, white being on the top. As shown below.

Click on both your new rectangle shape, and ellipse shape. From the transparency tab, click on the arrow to the upper right-hand corner, and choose "Make Opacity Mask."

You should have a nice shiny orb going now. Next we are going to add a light dropshadow. Duplicate your original orange ball layer by clicking on the layer in your layer window, and choose "duplicate layer" from the arrow menu. Click back down to your original layer (not the duplicate) and choose Effect > Blur > Gaussian Blur. Chose a value that suits you.

Your all done, here is how mine turned out!