There are 4 colors of stars that you can get. Different colors give different things.
Green lets you jump, so that you can jump over an oil puddle
Blue makes you speed up a lot, so only use it on a long straight
Red lets you shoot something (oil or tire, maybe?) which will make any car that you hit spin out of control
Yellow makes you turn around and drive backwards, but speed up, for 5 or so seconds
Yellow is activated as soon as you touch it
Green, Blue, and Red are activated when you press the left or right button on the top of the GBA, and can only be used once per star
Try collecting as many stars as you can it makes you faster.