This can also refer to the default Anonymous Access that all Windows machines allow.
The default setup is for anonymous access (not having to specify a valid user name/password) to connect to a machine and view its resources.
For example, say you are on \\PC1 and there is another machine on your LAN called \\PC2.
Open up a Command Prompt and type in the following:
NET USE \\PC2\IPC$ "" /U:""
That would set up an anonymous connection from your system to \\PC2. You would get the message "The command completed successfully." if you ran it.
From that point, you could view all shared folders, shared printers, and the user list (the user logon accounts, plus some of their properties) all while being connected as an anonymous user.
Now, this can be done over the Internet also.
So, the whole point is that you do not necessarily need to authenticate to a remote machine with a valid user account. You can do some stuff with a totally anonymous account! And yes, with this anonymous account you can do some potentially evil things. A recent Technet security bulletin (MS02-045) is one such evil thing. You can exploit this vulnerability using an anonymous connection. With this specific flaw, you can BSOD a remote system. But, I don't want to say any more on this!