Click on "My Courses"

To the left of the course, you will see a slightly hidden "star" icon.

Click on the star icon next to the course you want as a favourite.

Use the Tabs at the top of the course list to switch between your favourites and the rest of your courses.

To remove a course from your favourites list, simply click on the star icon to the left of the course again.

The course will then be moved back into your main list of Courses.