Set of stars is infinite in reality. Infact it is countably infinite.
Another example of infinite set is "set of all points in a line segment is an infinite set"
See this it says the that set of integers is countably infinite whereas set of real numbers is uncountably infinite.
In countably infinite sets you cannot count the total number of elements but at least you can do the counting. Set of integers is an infinite set but you can count the elements in ascending or descending order(take any starting element).
In uncountably infinite sets you cannot even count because in between any two real numbers their are infinitely many reals. Here you cannot even do the counting! (suppose you are starting with 0 the you cannot find a number which is just greater then 0, if you think of 0.1 but 0.01 is closer to 0 to get more closer you have 0.001 and so on) this shows that you cannot do the counting.
(Remember you have to do the counting in either ascending or descending order without missing any element in between)
You can find a formal definition of uncountable sets here.
You can still compare the cardinality of two sets. If there exists a bijection between two sets then the cardinality of these two sets are equal. The cardinality of $\mathbb R$ and $\mathbb R^+$ is same! (See this)
Imagine there is something smaller than a cent. call it $x$
And another thing that is smaller than $x$ and so on, you will eventually reach the set of real numbers which is uncountable
– alkabary May 23 '15 at 19:24