You must have collected all 6 Destruction Spheres from all 6 Cloister of Trials. 5 of them are easy, but you will need to revisit Zanarkard Ruins after the first time for the 6th, and activate all 7 white squares on the floor. This will give you the Destruction Sphere; place it in the right-hand hole of the main console. This will give you a Magistral Rod.
Now go to Baaj Temple. Jump off the top of the archway and swim towards the green dot. You will have to fight a small boss with Rikku, Wakka and Tidus. He has about 32,000 HP, and likes to use Stone Whip, but he isn't too difficult. Once defeated, go inside. Activate the 6 statues and go through the door, where you will get a cutscene, and Anima.