In a large saucepan boil water with the two cinnamon sticks and anise star. Remove from the heat, cover and let the cinnamon sticks and anise star steep for about 10 minutes. Remove the cinnamon sticks and anise star, return to low heat and slowly add the masa harina to the warm water, whisking until combined. Add milk, chocolate, and piloncillo.
Heat over medium heat just until boiling; reduce heat. Simmer, uncovered, about 10 minutes or until chocolate is completely melted and sugar is dissolved, whisking occasionally. Serve immediately.