No no no, you do not want this. Turn it off. Unless you have a specific reason, anonymous FTP is just another security hole and it will *only* give you access to the public FTP directory.
Log in to Plesk.
Click domains. FTP accounts are domain-specific.
You should now see Web Hosting Setup. Hit it.
In this screen is where you set the FTP user name and password, and you only get one per domain. Change it often.
Do not allow shell access via FTP credentials. If you're using "regular FTP" instead of a secure FTP connection (which you shouldn't) the FTP u/p is transferred in clear text with every file you transmit, and open to port scanning. If your FTP account gets hacked and they use the same credentials to access the command line, you're *really* hosed.
When you log in via FTP, you will see a lot of "folders" or directories you won't need. What you will be looking for is httpdocs for root html files and cgi-bin for any cgi scripts (presuming Linux of course, not sure of the structure on Windows based servers.)