I couldnt find an easy way to enable Anonymous access after setting up a WSS 3 web application. I couldnt find anything in the book references but this article gives the steps to explain what is needed.
Firstly you need to go the WSS3 Central Administration -> Application Management-> Authentication Providers section and edit the default zone properties to allow anonymous. This has the effect of allowing anonymous in the IIS Service manager -> Web -> Directory Security section.
Then you need to enable the setting on each Site Collection. You do this by going to the collection and choosing Site Actions -> Site Settings -> Users and permissions -> Advanced Permissions -- and enable anonymous access under the "Settings" drop down.
This last step isnt very intuative and I didnt find it until I read this article