You can type in Anonymous and a Password every time you connect to an anonymous site, or you can setup anonymous settings to do it for you.
To setup anonymous settings click on Options under the Setup menu. Under the Profile/General tab is a box that says Anonymous Password, here you can type in the anonymous password. The anonymous password can be anything but a lot of sites require an e-mail address.
To connect to an Anonymous site type the URL in the AddressBar, and click the Go button.
You will then be prompt with a Login box that has a check box that says Anonymous. Check the check box and click the OK button.
Max-FTP will then login with your anonymous settings