In a bowl: Place the (room temperature) egg in a bowl with the vinegar, Worcestershire sauce, dry mustard and whisk together.
Crush the garlic clove into a paste and add to the dressing.
Add the finely chopped anchovies or anchovy paste and whisk them in.
Now beating all the time, whisk in the olive oil in a fine stream into the egg and flavorings to create an emulsion (like you are making mayonnaise) until you have used all the oil. You can place a towel under your bowl to help hold it steady while your whisking so you have both hands free.
While you are doing this the anchovies and garlic should break up and become part of the dressing.
You should wind up with a rather thick dressing almost a mayonnaise consistency.
Season with a bit of salt (be careful the anchovies have a good deal of salt in them) and a very good grating of fresh black pepper.
Now taste it.
Whisk in the lemon juice taking care not to add too much. You do want to some sharpness in the dressing. Add a bit more if you like it tart.
You want a thick dressing that will stick to the romaine leaves and have a creamy consistency and not collect in the bottom of the bowl. If it is too thick you can thin it with a bit of warm water.
I use this method always, the blender has a tendency to make the dressing too thick as it runs at such a high speed, but it is easily thinned with a few drops of warm water...