Melt the butter, add the flour and gently brown over low heat.
Chop fresh anchovies, or take the anchovy fillets from the jar and sit them on a paper towel to drain the oil, then break up slightly.
Remove the browned flour from heat. Add some beefstock and stir till smooth and free of lumps.
Add the anchovies, herbs, onions, sherry and remaining beef stock. Stir to blend.
Return to medium heat and bring to a slow simmer.
Turn heat down and simmer for 20 minutes.
Strain the sauce through a sieve.
Add salt to taste if needed (the anchovies are salty enough in my experience).
Store in glass, not plastic, and use within 4 days. Freeze if desired.