There is no actual anchor. The anchor icon you see on the screen simply means you are allowed to port your ship in that area and enter land. If your ship is not moving, it can be a variety of factors that include:
1. You are sailing too directly into the wind, instead of across or with the wind direction.
2. Your sails, hull, or both are damaged enough to greatly slow your potential ship speed.
3. Your sailing skills are too low for the class of ship, which might also greatly slow your potential ship speed.
4. Your cargo is overloaded, which might also slow your potential ship speed.
5. The current wind is very low.
You might actually be moving, but just very little. Check all of the above factors. If you want me to verify there are no problems, you can also save the game while in the harbor that is giving you trouble and send me the save file and I will verify there is not some other problem. You can email me at chezjfrey@hotmail.com