It's like trying to conceive of a transparent block of iron. Close your eyes, can you do it? Once you've managed to conjure up an image, ask yourself; how do I know this isn't really just a block of glass?
Now turning to theological matters: how do you know you're thinking of the greatest conceivable being? Is it simply because you're saying in your head, "this thing is greater than anything else I could conceive"? Indeed, how do you know it's not the second or third greatest, rather than the first? It seems Anselm's God is like the transparent iron, or the philosophical zombie: even if such a thing is conceivable, we don't have good reason to believe it.