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Examples of anaerobic exercise are sprinting, weightlifting, push ups and pull ups. Anaerobic exercise will not burn off fat as the body needs oxygen to be able to do this - it will help to build stronger muscles though.
Where aerobic exercise is steady exercise over a long period, anaerobic exercise is that which takes place in short, intense bursts.
When you push your body to the point where your lungs are no longer capable of supplying sufficient amounts of oxygen to the muscles you are exercising anaerobically. You then rely on the body's limited capacity to perform without oxygen. This is why anaerobic exercise is only possible for short bursts while the muscle is working at a very high intensity.
Examples of anaerobic exercise are: