By default, when you create any primitives in Maya (ie. spheres) they are given a default shader called Lambert1. It's a good rule of thumb to not edit Lambert1 as if you do, anything you make in the future will also have those changes. So if you make Lambert1 transparent, then any new geometry you create will be transparent as well. Or if you apply an Earth texture to Lambert1, everything else with Lambert1 will have an Earth texture as well.

Right click on an object and toward the bottom of the marking menu that pops up is the option to Assign New Material. You'll want to do that. Choose Lambert (which can be changed later) and now you'll have Lambert2 assigned to your object and are free to edit that material without making changes to Lambert1.

Hope that helps.