Blanch the fennel (bring a pan of water to the boil, add the fennel, bring it back to the boil, then drain). Heat the olive oil in a frying pan and add the blanched fennel. Cook over a medium heat for a few minutes then add the anchovies. Cook for 10 minutes so that the fennel is soft and oily and the anchovy has broken down. This can be done up to 8 hours ahead.