Okay, I think I’ve found a solution to this minor inconvienance that’s been bugging some of us since 3.5 first came out. If you don’t like the sphere showing up everytime you load ZBrush, first get out of Edit mode by pressing T. Then clear the layer by pressing CTRL+N. After the sphere disappears, go to DOCUMENT and then SAVE AS START UP DOCUMENT. Sphere never shows up again. Going to NEW DOCUMENT and saving that as your startup doc simply wont do.
Just tried it and it doesn’t work for me. Followed your instructions to the letter, and the sphere comes back. 
Sigh, yeah it started coming back for me too. But I swear it worked the first time. Delete this thread please mods. Sorry about that folks.