Spoiler:
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The sphere is located near the centre of the map, usually there are some drow ambushing in that region, so be ready. Make sure you "click" all available sides of the sphere (6 of them I think), each containing a trapped soul. 4 of these "characters" are rather hostile, so be prepared to fight, the other two are friendlier (gnome kid is one of them).

Thanks, I already defeated those drow long ago, but i didnt realize that was the Sphere.

It's that big gem looking ball in the center of the area of the Underdark. Put your cusor on the sides of the gem to bring up an activation wheel. Spoiler............
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stand by for some really bad guys and get ready to battle. prepare yourself in advance. There's six side to the whole soul gem just in case you miss one