Buying:   These anchovies are common here in Southern California in markets serving Southeast Asian communities, particularly Filipino. They may be on ice, or in trays in the freezer cases.

Cooking:   Clearly you are not going to be filleting this fish except under a microscope. This is a fish to fry crisp and eat "head guts and feathers" - not an exact fit to the the delicate sensibilities of the baby spinach set.

1. Heat oil for deep fry - it doesn't have to be really deep for these fish. I fry in an Indian Kadhai, which has the best geometry for keeping oil in the pan, not on the stove.
2. Rinse the fish and drain thoroughly in a strainer.
3. Mix salt to taste with rice flour or sweet potato flour. Dump fish and flour into a paper bag and shake the bag until fish are evenly coated.
4. Pour the fish out into a strainer and shake the strainer over a plate until as much flour as is going to fall off falls off.
5. Fry fish in batches that don't crowd the pan. Use a durable oil like Olive Pomace at about 375°F/190°C. Fry until crispy and lightly colored (exact color will depend on the type of flour you use). You can tell they're done when the amount of sizzling declines.
6. Serve with a liquid dipping sauce and/or lemon wedges. Anchovies are strong flavored fish, so a dip with fairly intense flavor is good, with maybe a touch of sweetness to counter the slight bitterness of the fish.