While I agree completely with poncho's answer, this other viewpoint might be useful.
Specifically, I think a better comparison isn't between $\mathbb{Z}_p^*$ and $\mathbb{R}^*$, but with $\mathbb{Z}_p^*$ and $S^1$. We can view $S^1 \cong \{z\in\mathbb{C} \mid |z| = 1\}$. It's not hard to show that any $z\in S^1$ is able to be written as $z = \exp(2\pi i t)$ for $t\in\mathbb{R}$ (we don't strictly need the factor $2\pi$ here, but it's traditional). Due to $\exp(x)$ being periodic, it's in fact enough to have $t\in[0,1)$.
This has an obvious group structure, in that:
$$\exp(2\pi i t_0)\exp(2\pi i t_1) = \exp(2\pi i (t_0+t_1))$$
If we're making the restriction that $t_i\in[0,1)$, then we have to take $t_0+t_1\mod 1$, but this is fairly standard.
More than just having an obvious group structure, we actually have that any $\mathbb{Z}_p^*$ injects into it.
Specifically, we always have:
$$
\phi_p:\mathbb{Z}_p^*\to S^1,\quad \phi_p(x) = \exp(2\pi i x/(p-1))
$$
Here, $p-1$ in the denominator is because $|\mathbb{Z}_p^*| = p-1$.
We can define the discrete logarithm problem for both of these groups in the standard way (here, it's important to restrict $t_i\in[0, 1)$ if we want a unique answer).
Then, we can relate these problems to each via the aforementioned injection.
Through this image, we see that $S^1$ is "continuous" in the sense that it takes up the full circle, but the image of $\mathbb{Z}_p^*$ in $S^1$ will always be "discrete" --- there will always be "some space" between points (they can't get arbitrarily close).