is your sphere on it's own layer or the background? (Styl's instructions don't say to create a new layer before drawing but you need to
)
you can't apply layer styles to the initial background layer.
to make a new layer press Ctrl+Shift+N. Then create your shape. You should then be able to apply your layer style.
Also when you create the new document, under content, select transparent to give you a transparent file to start with.
Hope this helps!
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