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.