Preheat oven to 375 degrees F (190 degrees C). Line a baking sheet with parchment paper.
Chop the acorn squash in half and remove the seeds. Brush the olive oil on the squash and sprinkle some salt over it. Bake for 40-45 minutes, or until the flesh is easily pliable with a fork. Let the acorn squash cool while you prepare the rest of the soup.
In a medium pot, heat 2 tablespoons of olive oil over medium-high heat. When the pot is heated, add the leeks, carrots, and garlic. We want to sweat out the flavors of these vegetables, so let it cook for about 3 minutes, stirring frequently so that the vegetables don't burn.
Pour in the chicken stock, add the star anise, and bring everything to boil. Once the stock is boiling, reduce the heat to medium low, and add the milk and salt. Simmer the soup for another 10 to 15 minutes, then turn off the heat. Remove the star anise from the soup.
Using a fork, remove the flesh from the acorn squash, and mix it with the other ingredients. Blend the soup with an immersion blender or a regular blender.
Garnish the soup with cayenne, chives, sour cream, or yogurt. Enjoy!