If you couldn't tell yet, to do this you have to get out of the map and on this video it shows you how.
http://www.youtube.com/watch?v=TxkALtsJ8yk&feature=player_embedded
But once you get out of the map, instead of going for the smoke grenades, (Which you still can if you want.) You jump on top of the Pipeline that you were under. And once you get on top of it, you can just follow it all the way to the Refinery then jump inside the area, walk back to the door. Then click on it and it will bring you to the scene where Jingwei is executing a soldier. Then you can fight him and end Anchorage, getting your rewards and being on your way. Did anyone else know about this? (and if you do do this make sure to save alot and often.)
And I might try to post a video on it later if my instructions are bad.