It's straight forward, (see pic.) choose link and enter file or URL. An anchor appear inside a text as a places to jump to.

Are you trying to copy a link into the Link Location box that appears with Insert/Link (Ctrl-L)? If you are right-clicking in the box and see something about named anchors, that is a bug. Use Ctrl-V to paste the link rather than right-click, Paste. The correct behaviour should show up in the next release of TB, 38, that is due within a few weeks.