Soak the rosemary skewers in water for 30 minutes. Meanwhile, whisk together the garlic, tyme, olive oil, sherry vinegar, salt and pepper in a glass bowl. Toss lamb pieces in the marinade, and allow to sit at room temperature for 30 minutes. After the lamb has marinated, thread onto rosemary sprigs.
While the lamb is marinating, prepare the salsa verde by placing the lemon juice, olive oil, yogurt, garlic, salt, mint, oregano, parsley, capers, and anchovy fillet into the bowl of a blender. Blend until smooth, then pour into a serving dish and set aside.
Preheat an outdoor grill for medium heat.
Cook the lamb skewers, turning occasionally until no longer pink, about 8 minutes. Serve with salsa verde.