Copied from the About.com seafood recipes. Close to what you want I think.
1-1/2 lbs. orange roughy -4 fillets total (can substitute tilapia or other white fish)
olive oil
For the sauce:
1/4 cup white wine
1/2 teaspoon fennel seeds, chopped
2 cups clam juice
1/2 cup drained oil-packed dried tomatoes, chopped
2 Tablespoons drained capers
1-1/2 Tablespoons chopped anchovy fillets
1 Tablespoon chopped fresh, flat-leaf parsley
PREPARATION:
Preheat grill.
For the sauce:
1. Combine the wine and fennel seeds in a small saucepan and boil over med-high heat until reduced by half.
2. Add the clam juice and boil about 8 minutes. It should also be reduced by half.
3. Stir in the capers, tomatoes and anchovies and simmer for about two minutes. Remove from heat and stir in the parsley. Season with salt and pepper. Cover and keep warm while preparing the fish.
4. Brush fish with some olive oil and season with salt and pepper. Grill about 3 minutes per side. Fish should be opaque in the center.
http://frenchfood.about.com/od/fishseafood/r/l droughycapers.htm