An "anal douche" is a rather sexier way of saying enema.
Anal douching is practised by many gay men and by women who enjoy anal play. An anal douche is used to clean out the lower part of the anus and intestinal system before sex so that there are fewer nasty surprises. Not everyone finds them necessary - it depends on how "clean" you tend to be in general, and how tight your movements are. Excessive douching can lead to problems with the balance of the gut bacteria - anal douches have to be used correctly.
Always clean a douche before using, do not use soap - use plain tepid water or products designed for anal cleaning. Soap can cause irritation. Oh, and use lube first. Douching should be done about 45 minutes before you plan to have sex.
There are several different kinds of anal douche out there. Bulb douches are the easiest to use and often the cheapest. They give a relatively shallow cleanse - so if you are using large dildos or fisting they might not be enough. For that, shower douches - which are connected to the shower or tub faucet and can provide a variety of pressure. Water bag douches can also provide a deeper cleanse and are easier for travel.
Douche nozzles can be plain or grooved/beaded. Grooved nozzles are found to be more pleasurable by some but cause discomfort to others - you might want to try more than one to see what is best for you. The size and length of the nozzle is another variable that - well, it depends on how you are put together downstairs.
Bulb douches are sufficient for most and are the cheapest and easiest to use - look at the various types and see which one is right for you. Both bulb and shower douches can also be purchased with attachments for both vagina and anal douching - for women who enjoy both kinds of penetration or couples.
Again, always use tepid, plain water for anal douching, and do not douche too often - only do it when the planned play makes it necessary. As long as you are careful, anal douching is safe and can significantly help reduce the mess. It can also reduce the higher risk of urinary tract infections that can come from practising anal sex. So - prepare properly for your fun and find the right anal douche for you and/or your partner. Be willing to experiment - you might need to try two or three before getting it right.