Domestic sheep are descended more directly from wild sheep from the Middle East, not goats. Although, sheep and goats do share a common ancestor somewhere back along the evolution of bovids. If you look into bovid evolution you should probably find some cladistic charts that will show when goats and sheep diverged.
As to the question of what sheep were like before they were domesticated, luckily wild sheep are still around:
http://en.wikipedia.org/wiki/Mouflon
Edit: I haven't been able to find anything on the date of divergence, just relative degrees of difference.
http://www.ultimateungulate.com/Ceta.../Caprinae.html
http://www.springerlink.com/content/...0/fulltext.pdf
I'm sure there are dates out there somewhere if you look hard enough.
Genus Ovis = sheep
Genus Capra = goats