A typical mistake that foreigners make when they speak Russian is with the phrase "делать спорт" (to do sport). In Russian, a different verb is used with the word "спорт". This verb is "заниматься" (to be busy with). This verb has the postfix -ся which means it's a reflexive verb. See the conjugation of reflexive verbs:
The verb "заниматься" is always used with the instrumental case (see the table with all the cases here):

  • Спорт. Я занимаюсь спортом. - Sport. I do sport.
  • Футбол. Вы занимаетесь футболом? - Football. Do you play football?
  • Йога. Мы занимаемся йогой. - Yoga. We do yoga.