Michael Carrick, Sergei Rebrov, Greg Pearson, and Anton Ferdinand all converted theirs but the fifth taker, Adam Nowland, chipped into the arms of Tristan Peersman.
Sergei Rebrov made his West Ham debut, while Teddy Sheringham got to play in front of the home fans for the first time.
The pair received an enthusiastic welcome from the Hammers supporters on a blisteringly warm afternoon.
Anderlecht took the lead after nine minutes when, out of nothing, Mbo Mpenza struck a powerful shot inside Steve Bywater's left hand post.
On 13 minutes, Aruna Dindane made it 2-0 when his shot took a deflection to loop over Steve Bywater.
Four minutes later, Marlon Harewood set up Chris Cohen to score his first goal for the club with a superb first time effort.
Teddy Sheringham nearly scored his first goal for West Ham when a header from outside the box, following a deep cross by Michael Carrick from the right wing, went beyond the advancing keeper - and just past the post.
Wilhelmsson and van den Borre both tested Steve Bywater, forcing him into full length saves.
A stinging Sergei Rebrov free kick deflected off the Anderlecht wall, only to be pushed away by Daniel Zitka.
The Anderlecht goalkeeper was stunned just before half time when, as he advanced to the edge of the box to rob Marlon Harewood, who was chasing Sergei Rebrov's excellent through ball, his momentum carried him outside the penalty area.
The linesman flagged, and, after a brief consultation, the referee awarded Zitka a red card - much to the fury of his team mates and the amusement of the West Ham fans.
Substitute goalkeeper Tristan Peersman replaced Christian Wilhelmsson and watched as, after Sheringham's free kick hit the wall, Michael Carrick chipped the ball back in only for Nigel Reo-Coker to head wide.
Just after the break a Michael Carrick cross was met by Teddy Sheringham; after his header was parried and Anderlecht failed to clear, Andy Melville hammered home to make it 2-2.
And, with barely 5 minutes on the second half clock, a Tomas Repka cross from the right was headed home at the far post to make it 3-2 and prompt chants of 'You're not singing any more' from the home fans to the 700 or so Belgian supporters.
Jobi McAnuff, a second half substitute for Chris Cohen - who played left midfield in the absence of Matthew Etherington - scored West Ham's fourth with a deflected shot.
Mbo Mpenza pulled one back after getting on the end of a van den Borre cross and, with three minutes of normal time to go, made it 4-4 with a twice taken shot following a cross from the right.
Former manager Harry Redknapp watched the game in the Dr. Martens stand.
TEAM: Bywater, Repka [Mullins], Brevett, Carrick, Melville [Ferdinand], Dailly, Rebrov, Reo-Coker [Nowland], Harewood [Sofiane], Sheringham [Pearson], Cohen [McAnuff].
Subs: Walker.
Attendance: 10,858.