In the scene from The Office where Will Ferrell is training Andy Bernard how to be a good salesman, he is holding a dog that looks very similar to Baxter from Anchorman. Is Will Ferrell partial to this particular dog?
I assume you are referring to this scene in the animal shelter:
He could be partial to that breed (the Border Terrier), but it is not the same dog:
Anchorman was made in 2004:
That dog's real name is Peanut, he died in 2010, according to the same source, and no mention of another relation to Will Ferrell is made. In Anchorman 2 another dog was cast.
Season 7 of The Office U.S. was made in 2010 (it's hard to get a proper shot):
The differences in size and colouring become obvious here.
I don’t think that Will Ferrell is partial to this sort of dog per say. I think it was done purposely as the show has tons of “hidden humor” for instance in the meeting before the booze cruise, in the conference room, Steve Carell is talking about titanic and jokingly Jim gave a smart answer followed by Pam saying “I think you mean the Hunt for Red October” referring to a book by Tom Clancy that features John Krasinski on the cover.
Same dog though? No lol. As said above, poor little Baxter is in heaven.