Anonymous classes, as the name suggests, are classes which are declared and defined at the point of usage in the program. If you need to 'cook' a class, but would like to use it only once, and if it has very few( usually one or two ) methods in it, then it is probably a good candidate for an anonymous class.
You can read and learn more about them in any
good Java book. I would suggest you to pickup a good JavaBook( Thinking In Java by
Bruce Eckel is
free and popular. The RHE certification guide is another excellent book.
Good luck,
Ajith