on my first installation of anon-proxy, which was also 00.02.39-5 I got the same error, which I think had to do with the spaces trailing lines with backslashes in /etc/init.d/anon-proxy. This problem was fixed in 00.02.39-6 (bug #307629)
note that in the initial bug report, the apt-get transcript contains the lines: 0 upgraded, 0 newly installed, 0 to remove and 1 not upgraded. 1 not fully installed or removed. i.e., the preceding installation of anon-proxy had already failed in in the --configure phase, and is failing again, at the moment when /etc/init.d/anon-proxy restart is called. I think this is a consequence of bug 307629, which also broke /etc/init.d/anon-proxy stop, so that when shutting down the system, anon-proxy would not be stopped and the pid file remains. If anon-proxy is then not automatically started at system startup, the old pid file remains on which dpkg --configure anon-proxy => /etc/init.d/anon-proxy restart then chokes. as the init script has been fixed, I think this problem can no longer happen.
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