Wow, you've found a Sphere! That's sure a good fortune. Some chests in the Treasure Cave indeed contain these mysterious items. They are very precious and useful - by opening them you have the opportunity to receive Rubies, Emeralds, Amethysts and Key Fragments.
You can check how many Spheres do you have on your screen to the right:
During your journey in the Treasure Cave, you'll surely find mysterious Altars. These Altars are in the cave for a reason - each one of them can open the Spheres. The magic works only once though and that's why each Altar can be used only once. Right after you will use it for opening Spheres it will be broken:
Spheres exist in the Treasure Cave only. Should you leave without opening them first, they'll disappear under the sunlight of the outer world. So be careful and open all the Spheres before leaving Treasure Cave or they will disappear:
Take a good look at the rewards and search the Treasure Cave thoroughly!