A close relative of the much larger herring, anchovies are caught, cleaned, cured and packed tightly into tins. When eaten directly from the can, anchovies can be quite salty. This is because strong brine is routinely used in the preservation process. While it is not possible to remove all of the salt from an anchovy; soaking the fish fillets, will effectively reduce the saltiness.
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Open the package and remove the number of anchovy fillets you intend to use. Cover the remainder and place them in the refrigerator.
Place the anchovies in a shallow dish. Press the fillets with your fingers, lightly flattening the fish.
Pour milk or water over the anchovies. Add liquid until the fillets are completely submerged. Wait 10 minutes.
Drain the fluid from the fish and pat the anchovies with a paper towel. Anchovy flesh is quite fragile, so be gentle. Return the fillets to the dish and cover them with a second layer of liquid. Wait 20 minutes.
Remove the fish from the liquid. Rinse each fillet under a cool stream of running water. Lay the cleaned anchovies on paper towels to dry.