The following is one of the most common types of knots used to attach your anchor line/rode to your anchor. It's the knot I use with all of my anchors. As you can see, this knot is shown using an anchor shackle. Everyone should be using some form of shackle (and optimally an anchor swivel); however, you can use this knot just as easily by tying it directly to the anchor.

The different colour rope (i.e. black, orange, and tan) are just so you can tell where the rope goes over/under.