What is the Asterisk program event in Windows?

It's the sound/event that is associated with the Windows Information alert type (vs. a Critical, an Exclamation, or a Question).
We can demonstrate this by creating a quick VBS script to create a new message box (see the MsgBox function) and set its MsgBoxStyle to include the Information flag - vbInformation = 64.
So create a text file named info.vbs or alike, and put this in it:
x = MsgBox("Here's some info", vbOKOnly Or vbInformation, "Information Dialogue")
Save it, and run it with wscript info.vbs or cscript info.vbs.
It will pop up a box with an OK button and the "information" icon, and also play the accompanying sound event ("Asterisk").
To compare, if you change the flag to something else, like vbCritical (= 16), which will display the matching "critical" icon, and play the "Critical Stop" sound.
To complement Techie007's answer, an information message box is also called an asterisk because that's what its stock icon was in Windows 1 and 2!
For the same reason, an error box used to be called a hand.
Source: Raymond Chen