Step 1: Drow the basic shapes
To make this circle become a sphere, you should add lighting effect.
Go to Filter > Render > Lighting effects and do the adjustments like the pictures.
Step 2: Adding reflects inside the ball
Draw another circle right on the top. In the layers set the "Fill" of this layer to 10%. Now, change the dimensions using ctrl+T botton and set it like the pictures. Duplicate this layer to made another circle. Put it to the right or left of your shape.
Step 3: Adding window reflection
Drag the window to your ball and change the color to white and the Opacity to 60%.
Step 4: Adding shadow under the ball
-Draw an oval under the ball
-Drag it to the middle of your ball
-Right-click on the layer and choose Blending option
-Check the drop shadow box and make the adjustments as shown on the picture