as arran says, the easy way is to shift the pivot point and then simply rotate the orbiting object.
If you want to physically rotate it then a bit of maths is needed for figuring the location in space and moving it accordingly.

I was playing about with papervision3D early last year and wrote a little flash script to rotate a moon around a planet in 3D space. If I can find it I'll post it up as an example that could be used as a 'principle of doing it' sample that could be modified for maya.

As a final thought just have a good search for maya related versions as it might be fairly simple to get the effect working with dynamics.

Good luck
Simon