* means the root element of a document. In the case of HTML and XHTML, it's the <html> element. That code really means "look for #header inside of an html element inside the root element of the document".
Now you might be saying "That doesn't make sense! <html> will never be inside of <html>!" Well, you're right, but IE isn't and will apply the style as if the asterisk wasn't in that selector, while all other browsers will apply it properly (meaning they won't apply the style to anything).