Anegada is 15 square miles (38 square kilometers) and even though very sparsely populated, in terms of size actually the second largest BVI. It is a bit to big to explore by foot. You can take taxis, rent a car or explore the island on a scooter, in our opinion the most fun option. There are few rental places right by the ferry dock and the Anegada Reef Hotel and the rentals are suprisingly affordable (about 50$ per day).
Most of Anegada’s roads are dirt/sand roads. When it is dry they are pretty good, but watch out for potholes. And don’t worry about getting lost, there is basically one street that runs around the whole island in a big circle, you cannot really get lost. Also the rental places will hand you a nice small map.