Well first I should clear up that the Red Orb is for SoulSilver, and the Blue Orb is for HeartGold, but you must defeat Red in order to get it.
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for starters, have you defeated Red? If not, you need to go do that first. Yeah. I know. :( You also need to have gotten all 16 gym badges as well.
You defeat Red on top of Mt. Silver. Talk to Mr. Pokemon and he'll give you the blue/ red orb.
At Mt. Pyre You'll have to defeat team A/M Grunts and an old lady will be waiting at the backand she should give you the Red/Blue orb
After you beat the champion, go to Mr. Pokemon and he will give you either a Red Orb or a Blue Orb depending on which game you have. Also, when you get both Groudon and Kyogre on one HG or SS, you can get Rayquaza.
talk to the old lady then maxie will appear and he will steal the blue orb and the old will give the red orb