a few different tool companies make a tool for installing a star nut. they are basically a heavy duty metal handle that you hold onto, a threaded portion that you thread the star nut onto until it bottoms out on a stepped down part of the handle (it's stepped down so you can get the nut in there to the right depth). you basically use this to whack the nut in. the handle is there so you can leverage the star nut into position as you pound it in (because it will not go in straight on of it's own accord).
i'm sure given the time and materials, you could make your own. i think i once pounded one in just by using a rubber mallet on the bolt for the headset. i don't really recommend that, though.