How to have anal sex

First talk with your girlfriend/wife about it. If she doesn't want to do it, it's not going to happen.
You can try talking to her few times about it. Don't try to pressure her, if she is not into it.
Don't try to find a willing participant outside the marriage/relationship, that will end badly.

If she agrees here are some advices:

Shower before.

Use a condom.

Make sure she is aroused.
Make sure you are well lubricated. Her too.

Go slowly. You don't want to hurt her.

You, or her, stimulate her clit.

Here is a quote from http://womenshealth.about.com/b/2003/10/03/men-say-women-want-anal-sex.htm
"penetrate that area, gently at first, withdraw and re-lube a couple of times, don’t be anxious, stop immediately if things get awkward"