I got to the Baaj Temple. I have went to each statue. They all light up..

Go back to Zanardkian Ruins and do the puzzle on the floor again and you will get the destruction sphere put it in the pillar where you go the beside sphere from and they will give you the magistical Rod and then go back to Baaj Temple and touch the last statue and you will get Anima.

Well you are missing the sphere from zannercand (don't know how to spell it) but what you do is find a destruction sphere in the botom floor of the place and once you find it go to the top floor and enter it in the sphere slot nere the computer screen ( the thing that helps you with the maze) then go back go to it and then you are good

Each statue represents a temple, they shouls all be lit up if you have completed all their cloister trials using the destruction spheres. I hope this little map helps explain which statues are which temples:
X Besaid temple X Bevelle temple
X Macalania Temple X Djose temple
X Zanarkand Temple X Kilika temple

Assuming your problem is with the Zanarkand statue, board the airship and go back to Zanarkand Temple, at the cloister. In the pedestals room, check out the floor. There are blocks on the ground, as you know. To complete the cloister, you had to check out the tetris screen north of the room in order to display coloured forms on the ground.

This time, you can�t examine the tetris screen. Carefully examine the blocks on the ground to spot squares displayed by four blocks each. You need to highlight these by stepping on the right blocks. There are three of them in the pedestal rooms, and four of them in the second big room. Once you display all seven squares, a Destruction sphere will be revealed in the second room. Take it and insert it in one of the recesses(left or right of where the tetris screen used to be). A treasure is revealed. Once you take it, go back to Baaj Temple and light the statue that represents Zanarkand. The door to the chamber of the fayth will open.

Good luck!