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What is the star shaped black thing that turns under throttle side of handlebar grip on a 95 Harley XLD?

That is the choke knob. It controls whether fuel/air mixture is enrichened or leaned out. When pulling back on the knob while starting (and perhaps for a bit after starting) the fuel/air mixture is enrichened. It is pulled back on when starting with the engine cold and then pushed forward in gradually as engine warms up.