If your router doesn't support AnyConnect you need a different router or more likely a different IOS-version or license. Which router do you have? If it's an IOS-device pleas paste the output of "show version".
That router comes out of the box with the right feature-set and license. Now you should start learning the basics of Cisco IOS (there are many beginner-books available), and later you can go to the more advanced features like Anyconnect. If you just want Anyconnect you could load the Cisco Configuration Professional and configure your router with a grafical user interface.
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