Step One

Create a new image, lets say 100 x 100 pixels, with a white background, then fill the canvas with the color of your choice, I’m going to be boring and choose a shade of grey - #DADADA It should now look like the image to the left.
Step Two

Now turn on the rulers ( view–rulers ) and drag some guides out into the center of your canvas (click on the ruler and drag the guide out) and it will look like this.
Step Three

Create a new layer, and on that layer, drag out a circle from the center of the canvas, by holding shift + alt then dragging out from the center, next fill the circle with white. (make white the foreground color and press alt + backspace) It should now look like this.
Step Four

Now with the new layer selected, go layers–layer styles–outer glow and enter the settings shown to the left.
Step Five

This should generate the image shown to the left.
Step Six

Next, onto the inner glow panel and use the settings shown to the left…
Step Seven

…To generate the image shown to the left.
Step Eight

Next, onto the bevel and emboss panel and use these settings.
Step Nine

You should have something like this now.
Step Ten

Next use a gradient overlay with these settings…
Step Eleven

…then satin with these settings…
Step Twelve

… and you should have a nice blue orb like that shwon to the left!
Step Thirteen

Now, to make it inset, we create a new layer under the orb layer, and drag a circle slightly larger than the orb, and drag a gradient from top to bottom, as shown. Now, all that remains to be done is to blur the inset bit, do this using a gaussian blur, (filter–blur–gaussian blur) and enter a setting of around about 1.5.
Conclusion

Here is my final result, note that the images used in the tutorial are a slightly bigger size for clarity.

And of course, experiment!