It seems that the material of the sphere does have a shader, but it's probably one of the build-in ones. You need to assign your shader to the material the sphere is using. There are two ways that you can do that. One is to grab the shader and drop it on the material from the project tab. The second way is to select the material and on the top of the properties tab, there is a dropdown next to some Text saying "Shader". Click it and select your shader. If you want a visual representation of how to do that, you can check this video out at 6:40 (by Brackeys). If you have further question, feel free to ask.