As you played the previous stars, you definitely noticed the snowman on a pedestal as you were descending the mountain. For this star, if you head there now, you will only find a head, as his body melted and he is in need of a new one. You might remember a certain familiar pedestal near the beginning of the stage, so go and take a look at it when you have this star selected to see a snowball there. As you get close to it, some dialog will pop up, then it will begin rolling down the mountain path.
Once the snowball begins rolling, time is of the essence, as this is pretty much a race. You will want to quickly start sliding down the mountain path and get in front of the snowball. If you don’t, then it’s very possible that the snowball will not be on the correct path when you get in the vicinity of the snowman’s head. Your best bet is to get in front of the snowball, quickly get to the area with the snowman’s head, then move behind the head. At this spot, the snowball will go straight to the head, forming the whole snowman. Approach it to get your star.