Pour the milk into a saucepan, add the fish, and heat over medium heat until almost boiling. Reduce the heat to low and cook gently until the fish is cooked through when tested with a fork. It should take only a few minutes. Transfer the fish to a plate, and discard the cooking liquid. Remove the skin and any errant bones from the fish. For the next step, you can use a mortar and pestle, a bowl and the end of a rolling pin, or a blender. Combine the fish, eggs, cream, anchovies, cayenne, and some salt and black pepper in a bowl and beat together until you have a thick cream-like consistency.
Meanwhile, trim off the crusts from the bread slices, then cut the slices into narrow strips and toast them.
Serve the ramekins hot with the toast strips on the side.