--- EDIT, JANUARY 09 ----
SEE MY TUTORIAL [link]
IF YOU WANT A STEP-BY-STEP INSTRUCTION ON A VERY SIMILAR SPHERE.
GO THERE: [link]
This an older work I did back in early 2007. I tried to create a glass sphere that has not a siple transparency, but as it is a solid object, affects the refraction of light as well.
You can download the full PSD-file by clicking the download button. Use it as you like also outside of dA (for commercial use, please contact me), but be careful, its big!