Instructions
Go to the Necropolis and complete the quest you receive upon entering in order to receive the Darkness Orb.
Go to Sandsea and complete the quest given to you by Captain Rileth. Upon completion you will receive the Light Orb.
Go to the town of Dragesvard, where you will be given a quest upon arrival. Complete the quest, after which you will be given a series of quests. Complete them all to receive the Ice Orb.
Go to the city of Popsprocket in Falconreach and speak with the non-player character Yix. He will give you a quest that will reward you with the Energy Orb upon completion.
Train to become either a ninja or a pirate by speaking with the corresponding trainer in Falconreach. Upon completing the quests to become a pirate/ninja, you will be given the Wind Orb.