Doesn't look right eh ?
kay,
1. press M to open Material Editor
2. Click the small box beside 'Diffuse''s color, and click 'Bitmap' and open your .jpg or .bmp, etc...
3. There you have your image in your material, then drag the material into your 'object'
Well done, your picture is on your sphere now.
Now, if the picture doesn't look right on your sphere, follow these steps (only works for a mere sphere)
1. Add "UVW Mapping" on your Sphere's Modifier List.
2. There you will have the option of 'UVW Mapping' and choose 'Spherical'
E-mail me if you don't know what modifier list is