Assuming you're talking about the Properties on your SMTP server (since your post was so vague), then yes, you must allow anonymous access under the Access Control section. You prevent relaying through the Relay Restrictions, and it's here you want to limit it to your IP addys.
If you don't allow anonymous connections, then other email servers won't be able to connect and send email to your server unless they first login to it, and that's not an option for 99.9999% of the Exchange servers out there.
I'm Certifiable, not certified.
It just means my answers are from experience, not a book.