It's a slightly flattened (at the poles) spheroid, the last time we checked. When astronomical bodies get large enough, they 'collapse', or shape themselves under the force of their own gravity....
We are on Earth. Although it doesn't look as if we were in space, the very thin blue sphere around Earth is our atmosphere. To enter space we would go through that atmosphere. :D
On the surface we are in fact, in the atmosphere, we call this layer the Troposphere. the atmosphere extends to around 80 miles up, at that altitude the air is extremely thin, essentially you get to...