Place the anchovy fillets in a small bowl and cover with the milk. Leave for 15 minutes, then drain. Discard the milk and finely chop the anchovies. Heat the oil in a large, heavy-based frying pan until it is just hazing. Add the steaks and fry for about 2 minutes on each side for medium. You may have to fry the steaks in two batches, depending on the size of the pan. Remov