yes. you want your keywords to be a part of the anchor text. that's the easy part. the hard part is actually getting that on lots of pages.
I suggest you to use article submission and directory submission in order to place your url into an anchor text.
your question is not very clear you asked "how" and you got answers for "where", maybe you should give more details
"Put the keywords your tageting for your site in the anchor text?" Yes, but I suggest you put few different Keywords instead of using only one keyword.