Note the code above is incorrect.
The actual name of the event in Global.asax is AnonymousIdentification_Creating
e.g.
public void AnonymousIdentification_Creating(Object sender, System.Web.Security.AnonymousIdentificationEventArgs e)
{
// Change the anonymous id
e.AnonymousID = "mysite.com_Anonymous_User_" + DateTime.Now.Ticks;
}