Open the "default.cfg" file in the "\anachronox\anoxdata\configs\" folder with your text editor and change the "set debug 0" entry to "set debug 1". At the beginning of the game, press ~ to display the console window and type "invoke 1:86" to unlock the cheat menu. Also you can use the following codes at the console window:
Win battle instantly: battlewin
No clipping mode: noclip