The first way
Tick the checkboxes corresponding to messages you want to star, then click More Actions on the action bar and select Star from the drop-down menu.
The second way
In the messages list pane, click 
next to the message you want to add a star.
After being marked, the selected messages will be appended with 
, so that you can recognize them quickly.
Simply select Unstar from the More Actions drop-down menu on the action bar;
Or, click next to the message.