Based on the theory of spherical harmonics for measures invariant under a finite reflection group developed by Dunkl recently, we study orthogonal polynomials with respect to the weight functions |x1|α1 . . . |xd|αd on the unit sphere Sd-1 in ℝd. The results include explicit formulae for orthonormal polynomials, reproducing and Poisson kernel, as well as intertwining operator.