The anomalous skin effect in a plasma with a highly anisotropic electron velocity distribution function (EVDF) is very different from skin effect in a plasma with the isotropic EVDF. An analytical solution was derived for the electric field penetrated into plasma with the EVDF described as a Maxwellian with two temperatures Tx>> Tz, where x is the direction along the plasma boundary and z is the direction perpendicular to the plasma boundary. The skin layer was found to consist of two distinctive regions of width of order nTx/w and nTz/w, where nTx,z/w= (Tx,z/m)1/2 is the thermal electron velocity and w is the incident wave frequency.