Drupal - Where do I set anonymous checkout without users hit the login page?

You aren't just using Drupal Commerce, are you? It sounds like you're using Commerce Kickstart or Drupal Commerce with the Commerce Checkout Redirect module enabled. That's what's responsible for the behavior you're describing. Just disable it and enable the "Access checkout" permission that David Thomas pointed to.

You may need to check the permission, under Admin > People > Permissions : "Access checkout" for anonymous users.

If the user does log in, their anonymous order will be added to their authenticated user cart.