It is not a finite dimensional Lie group.  For example, all of the maps
$$
\Phi\bigl(z,[a,b]\bigr) = \bigl(z, [a+p(z)b,\ b]\bigr),
$$
where $p:\mathbb{C}^\ast\to \mathbb{C}$ is holomorphic, belong to this group.  More generally, the automorphism group is essentially the semi-direct product of $\mathbb{C}^\ast$ with the group of holomorphic mappings $p:\mathbb{C}^\ast\to PSL(2,\mathbb{C})$.

To see this, note that the foliation of $\mathbb{C}^\ast\times \mathbb{P}^1$ by the fibers $\{z\}\times \mathbb{P}^1$ for $z\in\mathbb{C}^\ast$ must be preserved by any automorphism, since these are the only compact complex curves that represent a generator of the second homology group (with the orientation given by the complex structure).  Thus, every automorphism $\Phi$ has a corresponding automorphism $\phi:\mathbb{C}^\ast\to\mathbb{C}^\ast$ that intertwines $\Phi$ and $\phi$ with the projection $\mathbb{C}^\ast\times\mathbb{P}^1\to\mathbb{C}^\ast$ onto the first factor.  Of course $\phi$ is represented by scalar multiplication by a nonzero complex number $\lambda$, and the map $\Phi\mapsto\lambda$ is a homomorphism from this automorphism group to $\mathbb{C}^\ast$.  The kernel of this homomorphism is clearly the group of holomorphic mappings $p:\mathbb{C}^\ast\to PSL(2,\mathbb{C})$, since $PSL(2,\mathbb{C})$ is the full group of automorphisms of $\mathbb{P}^1$.

**An historical note:**  Of course, Lie (and Cartan) would certainly have regarded this automorphism group as a Lie group (albeit not one of finite dimension), since it can be defined as the set of solutions of a system of differential equations.  By contrast, this is not so for the group $\text{Aut}(\mathbb{C}^2)$, which cannot be defined as the set of solutions of a system of differential equations.