Cook the corn by one of two methods: the outdoor method or the indoor method.
For the outdoor method: Soak the corn in their husks overnight in salt water. When ready to cook, preheat the grill to medium-low heat. Place the soaked corn, still in their husks, on the grill and close the lid. Grill for about 20 minutes, then remove the corn from the grill and let it cool enough so that you can handle it. Peel off and discard the husks.
For the indoor method: Preheat a cast-iron grill pan over medium heat. Husk the corn and season with olive oil and salt. Grill on the grill pan, turning occasionally, until lightly charred in spots, 8 to 10 minutes.
Mix together the anchovy, garlic and jalapeno in a large bowl with a large pinch salt. Add the lime juice and zest and whisk in the olive oil. Add the tomatoes, cilantro, scallions and avocado and gently toss.
Cut the kernels off of the cobs, and add them to the salad. Toss to combine and taste for seasoning. You may need to add some additional salt.