#1) A Flaming Sphere has the conjuration keyword. 
 
#2) Conjurations have the property that (PH, p. 59) "allies of the conjuration’s creator can move through the space a conjuration occupies, but enemies can’t."
 
#3) Conjurations "[do] not occupy any squares" (errata 8-11-08).
 
Additionally, the errata removed the requirement of conjuring the Flaming Sphere in an unoccupied square. Interesting.....
		
		
	 
 
Just want to point out #2 is no longer correct. This paragraph was errataed out and *totally replaced* with #3 (#2 was in the paragraph that was replaced):
 
Conjurations [Revision] 
Player's Handbook, page 59 
Replace the second paragraph with "Unless a power description says otherwise, a conjuration cannot be attacked or physically affected, and a conjuration does not occupy any squares." 
 
Given this change it was necesary to errata Flaming Sphere to say it *takes* up a space because normally conjurations don't.
Flaming  Sphere  [Revision] 
Player's  Handbook,  page  160 
Move the Effect line above the Target line and replace the text with the following: 
Effect: You conjure a Medium flaming sphere that occupies a square within range, and the sphere attacks.  Any creature that starts its turn adjacent to the sphere takes 1d4 + Intelligence modifier fire damage.  As a move action, you can move the sphere 6 squares. 
Thus, the general case is conjurations take up no space, but in the specifice case of flaming sphere it *does* occupy a space.