Start out by finding a background you would like your orb to appear in. I chose this lovely photo of the sky.

Make a selection with your circular selection tool, holding down shift to ensure that it is a perfect circle.

While you have your circle selected, choose Filter > Render > Lensflare. Choose a style and size that suits your picture. Next run Filter> Distort > Spherize, and choose 100%. You should have something like the image below.

While you have your sphere selected, hold the alt key and use your circle selection tool to cut out a large portion of your orb, so that all that remains is similar to the image below. Then choose Image > Adjustments > Brightness Contrast, and up the brightness a little bit.

Now do the same thing for the bottom, except this time lower the brightness.

Now lets trap something in our glass ball! I have my orb suspended in the sky, so I'm going to put a bird in there, you can do whatever you like.

Copy your image, and while you have your orb selected choose Select > Modify > Contract, and contract your selection by 20. Now choose Select > Feather, and choose a feather of 10. Depending on the size of your picture, these numbers can vary.

Past your picture into your selection. Then change the new layer mode to "overlay" You should have something similar to the image below.

This bird picture had a light background, so its interfering with the orb color a little bit. To fix this, lets edit the brightness/contract again. While on your new picture layer, choose Image > Adjustments > Brightness Contrast. I used the settings below.

Here is how mine turned out!