Preheat the grill. Drain the anchovies and reserve the oil. Chop the anchovies roughly and place in a mortar or bowl. Add the garlic and some pepper. Use a pestle or wooden spoon and crush to a paste. Stir in the vinegar and slowly, by droplets, stir in the olive oil until you have a thick sauce. Taste for seasoning.
Place the peppers under the grill until they are charred on all sides.