For your first question, the answer is no. Anonymous activity will not show in a smart list.
For your second question, I'm not sure if that is what that means, but when working with links and landing pages, the system can be a little fickle. I would try putting in a portion of the url and allow the system to search to see what you get. I've noticed that sometimes if you just copy and paste a value, you will get the red squiggly line. But if you either click back in the field and click out, or select the the value provided by Marketo, then it works just fine.
Hope that makes sense, but let me know if it doesn't and I will clarify further.
Actually Jeff, you can get anonymous leads in a Smart List assuming you aren't including other filters which will exclude them (like asking for a name or email address)
Rebecca - If you're trying to test out Munchkin, I recommend the following process:
Make a Marketo Landing Page and place a simple form on it
Fill out that form with your email address
Browse around some websites in that domain (hopefully your landing page and corporate website is in that domain)
Go to the Lead DB and search for your lead by email address
Select that lead and go to the activity log tab
On the Activity Log tab you'll be able to see a feed of activities you've done, hopefully including web pages. If you're not seeing that, I'd chat with support a bit and see if they can't help you get going.
Thanks for the clarification Erik! Sorry for misleading you, Rebecca. My understanding was that anyone who has never filled put any kind of form was anonymous activity. But this is a good distinction to know.