You don't even need to explicitly create a new material. Just drag the jpg from the Project list onto the sphere. It should create the material for you.
Drag the jpg in Unity, and drop it in the files/assets... Now, it'll auto import, and create a material (If not, manually create a material, similiar to how you made the sphere, and drag the jpg from the assets to the blank spot of the material). Now, drag that material on to the sphere, whether in the actual scene, or you can do it in the file system menu thing in Unity.