Technically, anything anal has to do with your anus, although you'll probably hear it more often to describe someone with a really meticulous, type-A personality.
If you've ever heard someone described as anal retentive, you may already know that term means someone is fussy, orderly, compulsive, and — to use a vulgar slang term — tight-assed. Anal things have to do with the anus (in slang, your butthole). The anal stage of childhood occurs when kids are extremely fascinated with their anus. A thermometer that goes up your anus is an anal thermometer. When you hear anal, think "butthole-related."