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I'm not in the biz, so I can't give a definitive answer. Your best bet is to call up an agent and ask. Having said that, my understanding is that you deal with either an agent or a publisher who acts on your behalf. Everything will be forwarded to you from your third party (again, be it an agent or the publisher directly) and all of your return correspondence will go the same way. I'm not sure how the legal ramifications work, but so long as you're not plaigairizing or commiting some other blatantly illegal act I don't figure you have too much to worry about that way.
And publishing a book, be it anonymously or not, is a particularly arduous endeavour. Be prepared to be tenacious, because odds are you'll have to be.
EDIT - Oh, and I meant to mention, there's a difference between publishing anonymously and publishing under a pseudonym. I suspect you want the latter; the former implies no interest in maintaining legal rights to your work, since there has to be a name attached to it in order to hold copyright.
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I wake up in the morning more tired than before I slept
I get through cryin' and I'm sadder than before I wept
I get through thinkin' now, and the thoughts have left my head
I get through speakin' and I can't remember, not a word that I said
- Ben Harper, Show Me A Little Shame
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