I don’t believe there is any tool that will do this for you, besides downloading the site and using your code editor to do a search of all the files within your project. Dreamweaver can do this, Coda, Textmate, etc.
Alternately, you can use Firebug to search for the "#" character, or "href="#"" if you would prefer (just use the search bar in the upper right of the FIrebug window) but I don’t believe you can search multiple files at once. You’d have to do it one page at a time.
Sorry, missed your comment about it being a local site. Yes, Coda can do this.
– Hit Command-F to bring up the find dialog
– Make sure to check the "find in" checkbox in the left files column
– specify what you are looking for in the first "find" input box
– Hit the "find" button just below the "find" input box