Heat a frying pan until hot, then add the olive oil, garlic and shallots. Cook for 1-2 minutes, to soften but not brown.
Add the anchovies and the wine and cook for a further 1-2 minutes, until the wine has reduced by half and the anchovies start to break down.
Transfer the anchovy mixture to a food processor, add the egg yolk and cream and blend to a paste.
Season with black pepper (the anchovies should make the dish salty enough) and pour into a serving bowl.
Serve immediately with a selection of washed raw vegetables for dipping.