To find where Anaconda was installed I used the "where" command on the command line in Windows.
C:\>where anaconda
which for me returned:
C:\Users\User-Name\AppData\Local\Continuum\Anaconda2\Scripts\anaconda.exe
Which allowed me to find the Anaconda Python interpreter at
C:\Users\User-Name\AppData\Local\Continuum\Anaconda2\python.exe
to update PyDev