1.Combine anchovies and milk in small bowl. Stand 10 minutes and drain well.
2.Heat 1 tbsp of the oil in large frying pan. Stir bread over heat until browned lightly and remove from pan. Heat 1 tbsp oil in same pan and stir onion, garlic and herbs over heat until onion is soft.
3.Blend or process anchovies, bread, onion mixture, olives, capers, vinegar and juice until combined. With motor operating, add remaining olive oil in a thin stream and process until almost smooth.