Sam wants to prevent Anna from carrying out her mission on the episode "The Song Remains The Same." That's because her mission is to stop Sam from ever being born.
Julie McNiven is seen here as Anna. She plays a key role on the episode "The Song Remains The Same," aiming to kill Sam's parents before they conceive him.
Pictured here, from the episode The Song Remains The Same: Amy Gumenick as Young Mary, Matthew Cohen as Young John.

Supernatural Season 5 Episode 13 Quotes

Dean: What exactly are we gonna march up there and tell 'em?
Sam: Uh, the truth.
Dean: What, that their sons are back from the future to save them from an angel gone Terminator? Come on, those movies haven't even come out yet.

Dean: Really? Anna?
Castiel: It's true.
Dean: So she's gone all Glenn Close, huh? That's awesome.
Castiel: Who's Glenn Close?
Dean: No one. Just this psycho bitch who likes to boil rabbits.
Sam: So, the... the plan to kill me--would it actually stop Satan?
Dean: No, Sam, come on.
Sam: Cass, what do you think? Does Anna have a point?
Castiel: No. She's a... "Glenn Close."