You can read my Instructable on how to clean and preserve anchovies. Stop at salting them. Once they have been "cooked" in the salt, you can smoke them.
Step 1: Dry Anchovies and Prepare Wood
Lay the salted anchovies out to dry on a rack. Soak two handfuls of applewood or cedar chips in water. Spread the damp chips in the bottom of a pan.
Step 2: Smoke Anchovies
Lay the rack of anchovies over them and cover them with foil. Put them on a stove top and turn the heat on low. Let them smoke until tender.
Step 3: Mix With Unsalted Butter
Mix in a 2:1 ratio unsalted butter to smoked anchovies. Then mix them until smooth.
Step 4: Serve
This butter is great served with crusty bread, or toss it in pasta and grate lemon zest over it.