You must have created the image at a different size to the resolution that your desktop uses. And when you apply a wallpaper you have the option to Tile, stretch or centre the image. My guess is that yours is set to "stretch".
For instance, if your desktop resolution is 1280x1024 and you make an image that is 1280x960, when you apply it as a wallpaper, Windows will stretch it upwards to fill the screen, therefore making your sphere look egg shaped. If you go into your wallpaper settings and choose "Centre", the image will not be stretched, but you will have a gap above and below it.
I hope this helps. 
