Here's a little tutorial which may lead you to a result similar to this:

1. Create a 256px by 256px document with white as background color ,fill the background with a dark color or a gradient for making it clear for the white snow orb to appear.
2. Create a circle by using Elliptical Marquee Tool (M) or Ellipse Shape Tool (U) on a new layer and name this layer as Orb ,fill this circle with any color and place it on the center of the document (X:128 Y:128) .
3. Reduce the Fill Opacity of Orb layer to 0%.Go to the Blending Options of this layer and set these values in Inner Glow option:

4. Now make a new layer and name it Gloss1.Select Elliptical Marquee Tool (M) and make an Oval of the size as shown in this image and fill it with any color.

5. Reduce the Fill Opacity of Gloss 1 layer to 0% .Go to the Blending Options of Gloss1 layer and set these values in Gradient Overlay option:

6. Ctrl+Click on Orb layer to load its selection and create a new layer with the name Gloss2.Select gradient Tool (G) and make these settings.

Make two radial gradients on Gloss2 layer in the direction as show in the image and reduce the opacity of this layer to 40%:

Now your document may look somewhat like this:

7. It's time to make some snow ,you can do this by using brushes.There are many snow brushes on deviantart.For this tutorial ,I am using Photoshop's defaul circular brush.
Activate Brush Tool (B) and set white as your foreground color.Make a new layer and name it as Snow ,place this layer below Gloss1 layer.Sart brushing the orb on this layer with different sizes of circular brush.Reduce the opacity of Snow layer to 80%.

8. Create a new layer and name it Snowy land ,place this layer below the Snow layer.With Elliptical Marquee Tool (M) ,make a selection like this:

Press Ctrl+Alt+Shift and click on Orb layer ,this will select only that part of the selection which overlaps Orb layer.Fill this selection with white color on Snowy land layer.Go to the Blending Options of Snowy land layer and set these values in their respetive options:


9. The orb is almost complete.Place some christmas objects (trees,gifts) on the snowyland ,you can find many of those objects here .
Here's y final result :

You can download the PSD file from here if anything is obstructing you in completing this tutorial.
I am eagerly waiting for your results
.