but I thought when the prophecy(the glass ball thingy) broke that was what came out, or I thought Voldemort created it.
No, it wasn't created by Voldemort, nor did it appear when the prophecy broke. In the book, they entered the room with the arch before the reached the Hall of Prophecies. Later, during the battle, they came back and lost Sirius. I think that arch was always there, it's a mystery as everything in the Mystery Department.

Kirsten