If Azura's Star would be put into a graveyard or exiled, it is put into it's owner's library fifth from the top.

{T}: Add {W} or {U}.

Whenever a non-Human, non-Elf, and non-Orc creature dies, and Azura's Star does not currently have a Soul counter on it, you may place a Soul counter on it.

Remove a Soul counter from Azura's Star: Exile an instant or sorcery from your graveyard, and target creature gains "When this creature attacks, you may cast an instant or sorcery exiled by a card named Azura's Star."