Need Help Setting Up Screen Resolutions, Lighting and Shadows in Game

So I'm fairly new at Unity and I'm having trouble setting up the proper screen resolution, shadows and lighting to the scene. I started with a simple "Roll a Ball" and in the preview there is good screen resolution, shadows and lighting but as soon as I test (in program and as a separate program) the quality drops (you can see the pixels on the sphere) and the shadows and lighting goes away. I've tried changing the shadows in within the program as well as changing the screen resolution but nothing seems to work. I might be missing something huge but I just can't see it. Hope you can help and thanks.

(Picture included)