To explain more in depth for the new people who may read this....
Once you have built a training centre you will see your players in there. Next to their name is a bar. Both training sessions and matches add to this bar, and when it fills you gain 1 point. When you click on your player, you can assign the points you have acrued to the players stats. One assigned point is 0.04 of a * level. In the player profile bit the top tab let's you know your * level exactly, for example 39.88, and each point you assign will add 0.04 to this. In this instance, 3 training points will take the player up to 40.00 and so he becomes 40*
The level of your training centre, along with the players learning speed (also on the players profile), affect how quickly you acrue points. The closer to 100% fitness he is also affects the speed of points gained. This means a player at 80% fitness will earn less points than a player with 100% fitness.
Hope this explains a little better. I'd recommend getting into a chatty guild once you have built a guild hall, this way people will be able to advise you on what is the best stat to assign the points to based on the players position
Any more queries, or for clarification on anything, feel free to ask