Faswilli2, I'll let Sam or someone else knowledgeable clarify and expand on the answer to your question, but I'll get you started. ANZAC (for Australia-New Zealand Auxiliary Corps, I believe) Day commemorates the day that said military unit landed at Suvla Bay in Gallipoli in Turkey during World War I. The goal was to gain control of the Dardanelles. The Turks, under the leadership of a competent German artillery officer, hammered them pretty badly, and the campaign was not successful. Winston Churchill, who was then British Assistant Secretary of the Navy, championed the plan, and came close to having his career scuttled. I understand that in Australia, and probably New Zealand, it's a national holiday similar to the U.S.'s Veteran's Day, honoring the soldiers who fought gallantly in a doomed mission.

The song "The Band Played Waltzing Matilda" and the film "Gallipoli" (with Mel Gibson) tell some of this story.

I am ready to stand corrected if I made some errors above, but I think that will at least give you the gist of it.