Anal sex is utterly prohibited in Islam. It incurs the wrath of Allah, in addition to its medical hazards. Therefore, the wife must act to resist this evil desire in her husband and not allow him to have anal sex with her. Even if the husband will have it with other women, this will be his own sin and she is not responsible for it.
As for the husband, he seems to be in need for psychological treatment. The wife’s role is to admonish him against his perverted practices. Tell him how abominable adultery and anal sex are. Show him evidences for the enormity of these sins. Try to help him purge his soul from this lust by getting closer to Allah and having fear of Him.
Should the wife file for divorce in case the efforts fail? She should rather be advised to exert all efforts to correct him before thinking of divorce. Just be sure that Allah is Ever-living and all-Sustainer.