Well, a n-dimensional sphere is just a mathematical object defined in (n+1)-dimensional Euclidean space by the equation
[tex]x_1^2 + \cdots + x_{n+1}^2 = 1[/tex]
This immediately tells us that a 1-dimensional sphere is a circle with [tex]x^2+y^2=1[/tex], and a 2-dimensional sphere is what we usually think of when we say the word 'sphere'. Note that when I say a 2-dimensional sphere' I mean something that lives in 3d space - one of the properties of spheres is that they are curved, and so you can't 'fit' them into a flat space with the same number of dimensions.
In more dimensions it's hard, if not impossible, to imagine what a sphere might look like. To imagine a 3d sphere you'd have to be able to think in 4 dimensions, and I don't know anyone who can do that - although some people claim to be able to!
This is why we do everything with mathematics when we get above a certain number of dimensions. We live in 3 spatial dimensions, and so it's incredibly hard for us to get any kind of intuition about how things 'should' happen in 4 dimensions.
The most often quoted reason for why we don't see any higher dimensions is that they're curled up very small - we only see the three spatial dimensions that are large and mostly flat. Imagine a hosepipe - the surface certainly has two dimensions, the 'large' dimensions along the length of the hosepipe, and the 'small' dimensions which is curled around the pipe. If the small dimension was small enough, we would only be able to see the large, extended dimension.