The Material Girl makes her directorial debut in the period piece, which is based on the romance between British monarch King Edward VIII and American divorcee Wallis Simpson, whose relationship forced the royal to abdicate the throne in 1936.
Madonna studied various scripts and notes while writing the movie - but she refused to pay for the historical musings.
She tells Britain's Glamour magazine, "I'm sure I've read every book on the Duchess of Windsor. And once people knew I was doing research and writing the script they wanted to sell me their letters.
"I didn't purchase any, but I read them, noted the information and then said thanks, but no thanks. I watched every documentary ever made, and stayed at the house in the south of France that they lived in during the war - it's now owned by (Russian businessman) Roman Abramovich. I tried to go to places that they were at and soak up their energy. Of course, I wasn't allowed in Windsor Castle."
The X-Files star admits she has turned down opportunities to play the late Duchess of Windsor in the past, but fell in love with writer William Boyd's Any Human Heart script and signed on.
Wracked with nerves about the role - her first real-life character - Anderson went to great lengths to make sure she was properly portraying the wife of British royal Edward VIII.
She studied up on Simpson and then insisted on perfecting her voice, walk and mannerisms.
The actress says, "Getting the voice helped. I worked with a fantastic voice coach and that brought a lot of her personality out. Plus the costume department found pieces of clothing that actually belonged to Wallis so I felt like I was really living the part."
But Anderson is still nervous about what Brits will think of her portrayal when the series begins on Sunday (21Nov10).
She adds, "I was more nervous doing this than anything I've done before... Everyone has such strong ideas about who she is and what she represents, but I had to knuckle down and do my work and give a flavour of who I saw her as. She's portrayed as an ogress by the press, but I wanted to make her more complicated than that."