This was written up for Cap 7 but should still work with some Cap APIInterface reference updates if you can get the Javascript window on the Execute Javascript option to behave (I really really hate that window). The solution doesn't use anchors per se but grabs the slide number from the URL and passes it along to Cap's internal function to hop to a slide.
Jump to a Specific Slide in a Course Using Captivate 7 - CaptivateDev.com
If you read through the comments under the article there are some tips for getting it to work in Cap 8.
Note! This solution only works if you're running the the course on a server or previewing in a browser where Cap starts up a localhost instance. Local testing (where the index page is run from somewhere off the hard drive) will see the JS disabled for security reasons.
-Jord