Anchor is a Roblox Studio tool and a property of BaseParts that allows a BasePart to be static from the physics engine, and will remain in that position even in edit mode. Any physical events that happen around the BasePart will not effect it's self until unanchored.
To anchor something, click the Anchor tool. Then click the brick you want to anchor. To unanchor, click it again. To do this with the Properties panel, check or uncheck the Anchored property.
Note that anchored parts will not move, and anchoring tools will cause the player to act anchored until they unequip the tool.
Anchored bricks can be used as baseplates, or they can act as bricks that you don't want being blown up by players in your place.