The Compelling Orb is an artifact used by Mephisto to control the Zakarum priesthood and their followers. It also shields his lair, the Durance of Hate, from any intruder that seeks to enter and disturb the Lord of Hatred. Deckard Cain instructs you to destroy it in order to reveal the way to Mephisto; after you've forged Khalim's Will and killed the High Council of Zakarum you can smash the Orb, clearing the way to the Durance of Hate.