an anchor station is similar to an anchor channel. However, instead of using a TV station as an anchor, you use a radio station as an anchor. You'll listen to one radio station until your favorite show is on or you find something better.
Ex 1: When you're cruising the airwaves, because your favorite station is playing the third set of commercials in the past ten minutes, you may find another station to listen to for your listening pleasure. That station you find is the anchor station.
Ex 2:
Listener 1: Man, these commercials are annoying, and the "Friday Night Mixtape with LMFAO in the Mix" doesn't start until 9 pm!
Listener 2: There's a station on 97.5 that plays LMFAO-style music all the time! Let's use that as the anchor station until this station starts broadcasting the mix show.