Film Director Adam McKay McKay directed the new movie Anchorman, starring Will Ferrell, about a news anchor from the 1970s and his wacky adventures when a female anchor joins the staff. McKay was the head writer for Saturday Night Live from 1997 to 2001. During that time, he made a number of short film segments. Anchorman is his first feature-length work. McKay was one of the founding members of the Upright Citizens Brigade comedy troupe. He's an alum of the Second City Improv in Chicago and also had many bit parts on SNL.