The asterisk symbol is a "star" (in fact that is the root of the word "asterisk").
SO, when the 90's craze of trying to type the least number of letters occurred, people decided to abbreviate EchoStar as "E Star" or visually " E* ".
Since DirecTV starts with a "D", then someone started to call it " D* ", as in E* and D*.
Anyone who was interested in who did this and when could search the archives of "rec.video.satellite.dbs" newsgroup. Probably 1997.