You should always start OMNeT from the mingw command prompt under Windows.
Only then will all the necessary paths be set.
As for the missing anf file, this is simply a collection file where links to the actual output files (scalar files *.sca and vector files *.vec) are collected.
You can create it by clicking on the *.vec or *.sca files, the OMNeT IDE will offer to create an *.anf file, where you can select which *.sca and *.vec files you want to collect.
You can also manually create an *.anf file via the File -> New dialog.
Check the User Guide for the IDE - Chapter 9 for a detailed description:
https://omnetpp.org/doc/omnetpp/UserGuide.pdf