Simply put this is exercising to a point where you are out of breath. Your heart and lungs cannot keep up with the demand for oxygen your muscles are placing on them i.e. your body needs more oxygen than you are able to supply.
Generally it consists of short bursts of energy, working one part of the body at a time, followed by rest periods. You will get tired fast but you will also use up blood sugar. This is also known as resistance exercise as one performs movements against resistance. It's primary target is to increase muscle mass.
Anaerobic exercise is not fat burning like aerobic exercise, but because it creates more muscle mass it also assists you to use more calories. This increased muscle mass leads to a lessening in Insulin Resistance.