Clean, wash and drain the anchovies. Mix the cornmeal and salt in a large bowl. Coat the anchovies with cornmeal. Set aside.
Pour the 2 tablespoons of sunflower oil into the shallow pan. Place the anchovies closely, with their tails pointing in the direction of the center of the pan, side by side.
Cook the anchovies on high heat for 8 minutes. Cover the pan with a flat plate once the first side has turned golden brown, and flip it over while holding the plate. Add 2 tablespoons of sunflower oil to the pan and slide the anchovies back into the pan.
After cooking this side for 7 minutes, transfer it to a serving plate.
Continue the cooking process until all of the anchovies are cooked. Serve with lemon wedges, sliced red onions, and arugula leaves.