Add the filter User: Name, and set it to Is not one of. Type in Anonymous and wait for the form autocomplete to find the Anonymous user. Your filter should look like User: Name <> Anonymous.
Here's an export of a View that lists all users except Anonymous:
$view = new view;
$view->name = 'users';
$view->description = '';
$view->tag = '';
$view->view_php = '';
$view->base_table = 'users';
$view->is_cacheable = FALSE;
$view->api_version = 2;
$view->disabled = FALSE; /* Edit this to true to make a default view disabled initially */
$handler = $view->new_display('default', 'Defaults', 'default');
$handler->override_option('fields', array(
'name' => array(
'label' => 'Name',
'alter' => array(
'alter_text' => 0,
'text' => '',
'make_link' => 0,
'path' => '',
'link_class' => '',
'alt' => '',
'prefix' => '',
'suffix' => '',
'target' => '',
'help' => '',
'trim' => 0,
'max_length' => '',
'word_boundary' => 1,
'ellipsis' => 1,
'html' => 0,
'strip_tags' => 0,
),
'empty' => '',
'hide_empty' => 0,
'empty_zero' => 0,
'link_to_user' => 1,
'overwrite_anonymous' => 0,
'anonymous_text' => '',
'exclude' => 0,
'id' => 'name',
'table' => 'users',
'field' => 'name',
'relationship' => 'none',
),
));
$handler->override_option('filters', array(
'uid' => array(
'operator' => 'not in',
'value' => array(
'0' => 0,
),
'group' => '0',
'exposed' => FALSE,
'expose' => array(
'operator' => FALSE,
'label' => '',
),
'id' => 'uid',
'table' => 'users',
'field' => 'uid',
'relationship' => 'none',
),
));
$handler->override_option('access', array(
'type' => 'none',
));
$handler->override_option('cache', array(
'type' => 'none',
));