Anchoring is a term that originates from neuro-linguistic programming, which deals with how different emotions and feelings can become associated with (anchored to) a stimulus. The classic example for this is when psychologist Ivan Pavlov rung a bell right before he fed his dogs. Over time, the dogs came to associate the ringing of the bell with food, and could be induced to salivate just by ringing a bell, even if no food was present.
The same psychological principle is largely true in humans as well. In regards to pickup, many men have negative associations about approaching and interacting with women, based on past rejections they experienced growing up. Learning pickup, can be thought of as the process of getting rid of these limiting beliefs and anchors, and replacing them with more positive ones.
Anchoring can also be used as a tool for PUAs to enter into a specific emotional state. For example, if a PUA wants to feel happy and outgoing when he goes sarging, he can vividly imagine an event from the past that made him feel these emotions, while at the time doing a hand motion (such a clinching his fist or touching a certain finger). When repeated enough, this practice can anchor those positive emotions with the physical motion. When in the field, he can conjure up those emotions any time he wants by performing the motion.
Some pick up artists take it a step further, and use the concept of anchoring to create associations in other people. For example, a PUA using anchoring might use a certain hand motion every time he describes something arousing. This will condition his target so that she becomes aroused simply by his use of the hand motion. Some mPUAs even claim to be able to implant anchors that can significantly arouse a woman to the point of orgasm.