Anemoculus are a type of Oculi in Genshin Impact. These important resources can be used to rank up the Statues of the Seven, netting you some pretty important buffs and benefits to your stats.
Anemoculus will appear in the world as small blue objects that float in the air. Some of them will be quite close to the ground, and you will only need to jump up to get them. Others may involve some climbing or setting up wind tunnels that will lift you into the air to get them.
The above map will show you exactly where they all are, using the wonderful Genshin Impact Interactive Map.
When you are close to them, they will be marked on the minimap by a small star icon, so they are actually very hard to miss once you know their general location. They might involve a bit of work to get to, especially as you get deeper into the game.
While it is certainly not essential to find them all to get a powerful party, the benefits from ranking up Statues of the Seven are certainly worthwhile, as it is one of the ways that you can increase your Stamina. It is also worth noting that you will only find Anemoculus in the Mondstadt region of the game, and they can be used to rank up Statues of the Seven that are found in the same region.
In Liyue, you will find similar items called Geoculus, and these are used to rank up with the Statues in that region.