No newline after (sub)section?

Your specific example can be solved by using the enumerate environment (as mentioned by elcelista), but your general question can be answered by using the titlesec package. The titlesec package defines the \titleformat command which allows any sectioning command to be easily redefined. The syntax of the \titleformat command is

\titleformat{command}[shape]{format}{label}{sep}{before}[after]

To eliminate the newline after a subsection heading, put the following in the preamble for your document:

\titleformat{\subsection}[runin]{}{}{}{}[]

Here is an example document and its output:

\documentclass{article}
\usepackage{titlesec}
\titleformat{\subsection}[runin]{}{}{}{}[]

\begin{document}
\subsection*{a)}
Blah blah bla...
\end{document}

I don't know of any way to do that with (sub)section headings, but have you considered the enumerate environment? If you're trying to make an ordered list, you can do:

\renewcommand{\labelenumi}{\alph{enumi})}
\begin{enumerate}
  \item Blah blah bla...
  \item Next one
  \item etc.
\end{enumerate}

and you would get something like

a) Blah blah bla...

b) Next one

c) etc.