In a pot or deep-fryer, add 5 inches/12.5 cm olive or corn oil. Slowly warm over medium heat.
Combine the mashed anchovies with olive oil to make a paste. Spread the paste on 6 squares of polenta. Top these squares with others of equal size so that you have, in effect, made a polenta-anchovy sandwich.
Dip the sandwiches carefully in egg so that they are coated. Do not let them a