In a small saucepan set over medium-high heat, add the vinegar, sugar, soy sauce and cayenne pepper. Reduce the heat to medium-low and gently simmer until the sauce is reduced to a glaze, 10 to 15 minutes. Turn off the heat and add the water.
In a small skillet set over medium-high heat, add the sesame oil and the garlic clove and cook until the garlic is fragrant, about 1 minute. Add the anchovies and cook until they are lightly caramelized, about 2 minutes. Add enough of the glaze to coat the anchovies and set the pan aside to cool to room temperature. Serve the crispy glazed anchovies in a small bowl.