The * originally was put on the home run record by roger maris as an addendum to the fact that while he beat Babe Ruth's single season home run record of 60, with his 61st. However, the * was applied to Maris' total because he did it in 8 extra games.
(if Maris' season was the same length as Ruths, he would not have broken it)
Now, as the * applies to Bonds, you see, Bonds began taking performance enhancing steroids, according to his testimony to the grand jury. His claim that he didn't know it was steroids was pretty weak.
A number of naive Bonds fans typically believe two things.
1) that because he never failed a drug test, he must be clean. The argument here is that they give LOTS of notice before a drug test is to be taken and it's only urine, not blood.
2) Steroids weren't explicitily banned by baseball. While this is true, it was against US law to use steroids without a prescription.
Lastly, if Bonds didn't think he was doing something wrong, he would have been open about it. His hiding all the facts is about as proof-positive as anyone can be about his guilt.