Preheat the oven to 200°C/fan 180°C/gas mark 6. Using a small, sharp knife, make small incisions (just large enough to stick your finger into), about 3cm apart, all over the leg of lamb.
Bunch up the rosemary, garlic and anchovies into small bundles and, using a chopstick or skewer, push them into the slits. Continue until you have filled all the holes. Drizzle the top with a little oil from the anchovy tin and season well.
Put the lamb in a large roasting tin and roast for 25 minutes, then turn down the temperature to 180°C/fan 160°C/gas mark 4. Pour 200ml wine into the tin along with a splash of water and continue to roast for a further 1 hour 15 minutes, or 25 minutes per 450g for pink lamb. Cook for a further 20 minutes if you prefer well done. Add a little more wine and water during cooking if the juices get low.
Remove the lamb from the oven and transfer to a platter. Cover with foil and rest somewhere warm for 15-20 minutes before carving.