In a large mixing bowl, combine ½ cup of flour, yeast, and warm water. Let it sit for 10 minutes.
Add the remaining flour, sugar, salt, anise seed, orange zest, eggs, butter, milk, and water. Mix until well combined.
Knead the dough on a floured surface for about 10 minutes, until smooth and elastic.
Place the dough in a greased bowl, cover, and let it rise in a warm place for 1-2 hours, until doubled in size.
Preheat the oven to 350°F (175°C). Shape the dough into a round loaf, and place it on a baking sheet.
Bake for 35 minutes, or until golden brown. Let it cool before serving.