Fix $t>0$ et $y\in \left\{x \in \mathbb{R}^n: |f(x)| > t \right\}^{*}$. One can check that for every, $0 one has $\left\{x \in \mathbb{R}^n: |f(x)| > t \right\}\subset \left\{x \in \mathbb{R}^n: |f(x)| > s \right\}$ this entails that, \begin{equation}\label{eq-inclu t-s}\tag{I} \left\{x \in \mathbb{R}^n: |f(x)| > t \right\}^{*}\subset \left\{x \in \mathbb{R}^n: |f(x)| > s \right\}^{*}~~~\textrm{for all $s\in ]0,t[$}. \end{equation} this implies that,$ \mathbf{1}_{\left\{ | f| > s \right\}^*}(y) =1 ~~~s\in (0,t)$
Therefore, from definition of $f^{*}$, if $y\in \{|f|>t\}^*$ then we have $\begin{align*} f^{*}(y) &:= \int_{0}^{+ \infty} \mathbf{1}_{\left\{ | f| > s \right\}^*}(y) ds\\ &= \int_{0}^{t} \mathbf{1}_{\left\{ | f| > s \right\}^*}(y) ds+ \int_{t}^{+\infty} \mathbf{1}_{\left\{ | f| > s \right\}^*}(y) ds\\ & = \int_{0}^{t} ds+\int_{t}^{+\infty} \mathbf{1}_{\left\{ | f| > s \right\}^*}(y) ds \\ &>t. \end{align*}$
Whence, $\left\{x \in \mathbb{R}^n: |f(x)| > t \right\}^{*}\subset \left\{ x \in \mathbb{R}^n:f^{*}(x)> t \right\}.$ On the other hand, if we suppose, $y\notin \left\{x \in \mathbb{R}^n: |f(x)| > t \right\}^{*}$ then for all $s>0$ such that $ y\in \left\{x \in \mathbb{R}^n: |f(x)| > s \right\}^{*}$ one has $0.
Indeed, $t>s $ then from \eqref{eq-inclu t-s} $y\in \left\{x \in \mathbb{R}^n: |f(x)| > t \right\}^{*}$ which is contradiction since we assumed that the converse is true. this means that,
$\sup\left\{s>0 : y\in \left\{x \in \mathbb{R}^n: |f(x)| > s \right\}^{*}\right\}\leq t. $ We then deduce that, $\begin{align*} f^{*}(y) &:= \int_{0}^{+ \infty} \mathbf{1}_{\left\{ | f| > s \right\}^*}(y) ds\\ &= \int_{0}^{t} \mathbf{1}_{\left\{ | f| > s \right\}^*}(y) ds+ \underbrace{\int_{t}^{+\infty} \mathbf{1}_{\left\{ | f| > s \right\}^*}(y) ds}_{=0}\leq=t \end{align*}$ that is $f^*(y)\leq t$ or that $y\notin \left\{x \in \mathbb{R}^n: f^*(x) > t \right\}$. We've just prove that,
\begin{equation}\label{eq}\tag{II} \Bbb R^n\setminus \left\{x \in \mathbb{R}^n: |f(x)| > t \right\}^{*}\subset \Bbb R^n\setminus\left\{x \in \mathbb{R}^n: f^*(x) > s \right\}~~~\textrm{for all $s\in ]0,t[$}. \end{equation}
Which end the prove by taking the complementary.