Well, first there where many books from multiple companies called something book (clanbook, worldbook, sourcebook, classbook, etc.). Then somewhere, not sure, thhey starting using *book as a way to through all these types into one general catagory. The * is called a Splat by a certain group of people so they are called splat books.
I'm sure someone knows the story much better, but that should get you the basic idea.