Combine the softened butter with the anchovies, garlic, herbs, lemon zest, salt and pepper. Mix well and set aside.
Combine the olive oil, Balsamic vinegar, salt and pepper and pour over the steaks. Make sure the steak is well-covered on both sides then cover and allow to marinade for at least 30 minutes or up to 24 hours in the fridge. Remove the steak from the fridge an hour before cooking.
Preheat your grill for 10-15 minutes then cook the steaks to your preference. 2-3 minutes per side for rare. 3-4 minutes per side for medium-rare to medium. 5-6 minutes per side for well done.
Remove the steak from the heat and place on a plate or board. Loosely cover with foil and allow to rest for 5-10 minutes.
Serve the steak with dollops of the compound butter.