Normally errors reported by the compiler are highlighted in the message window pane. Double clicking on an error should open the corresponding file, if necessary, and move the view to the right position.
It can fail if Anjuta is not able to parse the output of the build program. This is much more common if the output is translated. So, as a work around, you can uncheck the option Translate messages in the preferences of the build plugin. The errors and warnings of the compiler will not be translated but you should be able to jump to the faulty line as explained above.
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