I am trying to implement Paillier Cryptosystem in Java and facing a doubt with the definition of the modulo set WITH A STAR. Specifically, what do we mean if we add a star to Zn?
I am confused between two:
1) It is the set of prime numbers.
2) It is the set Zn minus the element zero.
Google search didnt help. At least not to me.

As noted by Daniel Fischer (Z_n)* is the unit group of Z_n. Practically speaking, (Z_n)* is the set of integers x, 1 <= x < n, such that GCD(x,n) = 1.