$\cal{P}({}^\ast\mathbb{R})$ is the full standard power set of the nonstandard reals, the set of all subsets of ${}^\ast\mathbb{R}$. This power set includes the subsets consisting solely of infinitesimals, solely of the standard integers, and so on, since these are subsets of ${}^\ast\mathbb{R}$; these particular subsets do not exist in the nonstandard universe.
${}^\ast\cal{P}(\mathbb{R})$ is the nonstandard version of the power set of $\mathbb{R}$, the set of all sets of reals as it is seen in the nonstandard universe, which thinks the reals are Archimedean and so on (with respect to its nonstandard ${}^\ast\mathbb{N}$). This version of the power set, accordingly, does not include the collection of infinitesimals or the set of standard integers, since these would reveal the reals to be incomplete or non-Archimedean. But every set that is thought to be a set of reals in the nonstandard realm is really a subset of ${}^\ast\mathbb{R}$, and so ${}^\ast\cal{P}(\mathbb{R})\subset \cal{P}({}^\ast\mathbb{R})$.
Finally, as I understand the notation, ${}^\sigma\cal{P}(\mathbb{R})$ consists only of the nonstandard analogues ${}^\ast X$ of standard subsets $X\subset\mathbb{R}$ obtained by the transfer principle. These are all genuine subsets of ${}^\ast\mathbb{R}$, and indeed are thought to be sets of reals in the nonstandard realm. But not every nonstandard set in the nonstandard universe is the transfer of a standard set. For example, no nonstandard (pseudo) finite set of reals is ${}^\ast X$ for any standard $X$.
To summarize, we have $${}^\sigma\cal{P}(\mathbb{R})\quad \subsetneq\quad {}^\ast\cal{P}(\mathbb{R})\quad \subsetneq\quad \cal{P}({}^\ast\mathbb{R}).$$
Every ${}^\ast X$ for $X\subset\mathbb{R}$ is a nonstandard set of reals in the nonstandard realm, but not all sets of reals in the nonstandard universe arise this way (because of the nonstandard finite sets), and furthermore, there are standard subsets of ${}^\ast\mathbb{R}$ that do not exist in the nonstandard universe, such as the set of infinitesimals.
