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It's been years since I played around with font embedding, but I seem to remember that you could embed a single character from a font with Microsoft Weft. However, it's probably the case that a .GIF would be smaller!
So, there must be something/font that is unique to that machine which is producing the 'star'.
(Just to note, I had previously tried Unicode fonts on IE6, FF1.5 etc.)
[support.microsoft.com...] lists fonts which MS will revert to to show double-byte characters. I suspect that's what's happening.
(I'm sure this knowledge will come in handy again one day!)