The "anhydrous" just means without water. Glycerin is a water-attractor. 99.5% glycerin (anhydrous) means that you have a bottle of something of which 99.5% is indeed glycerin.

Take a look here:
Vegetable Glycerin vs HUMCO glycerin-warning!

For me, I tend to buy the glycerin USP skin from my local CVS. Convenient (closer than Walmart):
Buy CVS Pure Glycerin USP online at CVS.com