The whole point of Riemann sums is that they are used to show that the integral gives "area under a curve". If we have the curve y= f(x) such that y> 0 for a< x< b, we can divide the area into many thin rectangles, with width \Delta x and height f(x^*) where x^* is a point on the x-axis inside that rectangle. The area of each rectangle is, of course, f(x^*)\Delta x so the entire area is approximated by \sum f(x^*)\Delta x, the sum of the areas of all the rectangles. Taking the limit, taking more and more rectangles with \Delta x smaller and smaller, we get, by definition, the "Riemann integral", \int_a^b f(x)dx.
So for large n, \int_a^b f(x)dx is approximated by the sum \sum_{i= 0}^n f(x_n^*)\Delta x.