At the moment, I'm having problems rendering 3D objects properly (it was converted to ddd from a 3DS file). It displays the sides, but not the top or bottom, and thus is not a totally solid object.
It also seems to be a problem with manually created shapes too :
(http://i475.photobucket.com/albums/rr115/MrTAToad/temp.jpg)
I think the CreateSphere code is ... not the best.
Try different num_wrap and num_stacks values.
Try the ones I use in my "lights" sample.
It turns out that the background image (which does have an alpha) was being used on the 3D object, and thus a quarter of the shape was missing.
I had thought that by default each object would have no texture, but apparently it uses the last texture used :)
So, problem solved.