In photoshop ive tried makeing a little sphere that sdl will display on the screna and move around. It looks great when I save but when SDL removes the transparent pixels the edges look nasty. Is there any way to make my spher look right? http://img.photobucket.com/albums/v143/ssDko/BadSphere.jpg

blur the edges a bit. save it as a .png at highest quality.

I'm not sure, but it may be because you drawed the ball on a light background and photoshop performed some antialiasing... Try making those edges transparent using a tool with softness set at 0, with 1px diameter.

It could be that you're rendering with alpha testing and not alpha blending. Alpha testing discards any pixels that aren't at a certain level of opacity.
I don't know how to switch that with SDL but you can look it up.

How can I keep Photoshop from anti alising?

Use the pencil tool instead of the brush tool to remove antialiasing by making those nasty pixels transparent. But you should definately check out LokePick's method... not only it's a time saver if you have lots ov objects, but it also has a better result (it wold look like the ball antialiases with any background).
Hope this helps...