SIGHTING REPORT UFO sighting at New Mexico

A glowing yellow/white orb.

I was ferrying an aircraft from Florida to Arizona with a flight student. We were at 10,000ft traveling at 110knots. Below the the horizon in front of a small mountain range I saw a bright object. I kept losing sight of it and it was hard to tell if it was one object moving quickly or several of the same objects in my field of view. My student and I began joking that I was becoming hypoxic and seeing things. He then took out his digital camera and began taking pictures of the mountains out the right side window. Just as he leaned over, I saw the object again near the horizon move quickly off to the north and east. My student then said, "is this what you saw?". Sure enough he had captured it on his digital camera. When we got back we reviewed the pictures. Two consecutively taken pictures. One showing the bright orb and the next shows a cloud of smoke ahead of the spot in which the UFO was depicted in the previous picture.