Is the argument "vitamin C stops colds" anecdotal?

It's because you are not carrying around a rabbit's foot :)

I think simply saying that it is anecdotal is fine—but in my opinion, you would be giving them too much credit. When people provide an anecdote, it is usually a true story, or a made up story that communicates some kind of "truth." In this case, your friends are guilty of Questionable Cause in assuming that the reason they don't get colds is because of the megadoses of vitamin C they take. Therefore, their anecdote itself is based on a fallacy! Now if they argued that the reason their pee is so colorful was because of the megadoses of vitamin C, then you would have to agree with them :)