MLA format just changed in Sept 2009 so you want to always be careful with what you find on the internet to make sure it has been recently updated. This information is from The Owl at Purdue. Most English teachers use this source:
Lastname, First name. "Title of Essay." Title of Collection. Ed. Editor's Name(s). Place of Publication: Publisher, Year. Page range of entry. Medium of Publication.
So, you can copy this format inserting the information from the anthology you are using. I have this text in a Prentice Hall Literature Anthology. No matter where you have found it, it should start like this to be MLA:
Connell, Richard. "The Most Dangerous Game."
If you have found this short story online, here is another sample citation:
Connell, Richard. "The Most Dangerous Game." Fiction: The Eserver Collection. 1994-2010. Web. 5 Sept. 2010.