1. Heat 3 tablespoons of the oil in a skillet over medium-high heat. Add the mushrooms and sauté, stirring frequently, 5 minutes. Reduce the heat to medium and stir in the garlic, anchovies, olives, capers, lemon juice, and balsamic vinegar. Simmer 5 minutes or so to blend the flavors.
2. Meanwhile, toss the arugula with the remaining olive oil in a large salad bowl. Season to taste with salt and pepper. Add the warm mushroom mixture to the arugula and toss until thoroughly blended. Mix in the Gorgonzola and divide the salad among 6 plates. Serve at once.