This exercise is really easy but the result looks cool. First, select the Oval tool (no line) and the built-in radial gradient.
Draw a circle.
Select the Gradient Transform tool. If you pick up the circle handle in the center of the fill, you can move the center point of the fill up and to the left (where the imaginary light source is on your computer screen).
Grab the square handle and move it to the left to change the shape of the radial gradient.
Grab the bottom circle handle to rotate the shape of the gradient.
Grab the circle handle that's between the rotating and shape handles to adjust the fall-off.
Keep tweaking your image until you've turned the circle into a sphere. Notice that because of the arc in the fall-off, the circle has an equator.