Measuring and prepping everything a head of time makes this a bit easier to deal with. Chop the onion and set in a small bowl. Measure out the horseradish and put in a small bowl, chop the peppers and garlic, add to the horseradish. Peel and wedge the lemon, removing as much of the white pith as possible, cut in chunks. Measure the spices in to a small bowl. Shell the tamarind if using whole.
You need a 6qt or so, non-reactive pot. Heat that up over medium-high heat and open the anchovies. The anchovies typically come in a 2 oz tin, packed in olive oil. You want the flat packed, not the ones rolled around capers.
Drain the oil from them in to the pot and when it gets to the point that it’s starting to smoke, toss in the chopped onions and cook those for a couple minutes before adding the horseradish, jalapeño, and garlic. Cook this for about a minute or so.