The anchor buoy is a god send when anchoring in deep water. It works simply of water pressure. The boat drives off at 45degrees to the anchor. The rope develops a belly and the anchor buoy is forced under the water by the water pressure. As you continue to drive off, the anchor is lifted from the bottom till it reaches the ring. The buoy at this stage then bobs along the surface.
The device itself is simply a foam ball, roughly the same size as a basket ball connected to a ring via a short piece of rope. As seen in the picture below.
Click on the boat to see a short video of the anchor buoy in action.