The short answer is no*, the materials needed to make a sphere do not exist today and may not exist in the future. Also a sphere enclosing the sun would be to unstable. PBS Space Time has a good video on this which is embedded below.
While the sphere is not possible a Dyson Swarm is and is something we can get started on today. The only reason it is hard to picture is that the scale to think on is just stupid. The method to start with is mining Mercury to create giant hematite mirrors that focus the suns light on a solar plant. This gives you more energy to work with and you start scaling up exponentially.
The interesting concept is the concept of black hole engines aka kugelblitz black holes. The suggestion that something like that could actually get us to a Kardashev III civilization. Check the video for details.
*Yes I know you shouldn’t write the headline if the answer is no. But this is still fun.