What is the purpose of ANYSIZE_ARRAY in <winnt.h>?

I assume you are talking about this blog post.

It is often used when a variable-sized (unknown at compile time) array is part of a struct:

typedef struct {
    int CommonFlags
    int CountOfThings;
    THING Things[ANYSIZE_ARRAY]; //Things[1];
} THINGSANDFLAGS;

To work with those structures you often first call the desired API to get the size of the data, then allocate a block of memory big enough and finally call the same API again so it can fill in the data...