Cut the grapes in half and divide them between four large glass tumblers or dishes. Put them in the refrigerator to chill.
Meanwhile, make the jelly. Thinly pare a long strip of zest from the half orange, then squeeze the juice and set it aside. Place the zest in a saucepan with the wine and star anise. Heat gently until almost boiling, then reduce the heat, cover and simmer for 10 minutes. Remove the pan from the heat, add the sugar and stir until it has dissolved.
Strain the sweetened wine into a bowl. Sprinkle the gelatine over the surface and stir gently until it has dissolved. Add the orange and grape juices and set aside to cool for 5 minutes, or until the liquid is lukewarm.
Pour the jelly mixture over the grapes and set aside until completely cool, then put them in the refrigerator for 4 hours, or until set.
Serve each glass topped with 1 teaspoon of yoghurt and sprinkle with nutmeg.