Anchovy paste is made from anchovies ground into a paste along with vinegar (and sometimes flavorings) then sold in tubes or jars. This is a popular European ingredient. Anchovy paste can be used to flavor sauces (pasta puttanesca) or added to salad dressing (like Caesar salad dressing) or add to a fish soup to add depth to the flavor.
Look for anchovy paste in the 'tinned fish' section of the grocery store; usually in the area of cans of tuna or shrimp. You can also find this at Cost Plus World Market, Whole Foods and online at one stop shops like Amazon.