''I'm shooting this action sequence, which is the strangest thing I've ever done.'' Director Wes Anderson is on the phone from Italy, unwinding with a plate of pasta con carciofi -- appropriate, considering he and pal Noah Baumbach (Kicking and Screaming) cooked up the movie over several New York suppers. With his usual quirks (albino dolphins, stop-motion animation), the Rushmore vet's fourth feature finds Bill Murray as a Jacques Cousteau-like oceanographer on the trail of a mythical beast. (Also on board: Cate Blanchett, Willem Dafoe, and Owen Wilson.) But don't expect the star to affect a kooky accent. Says Anderson, ''He sounds like Bill Murray.'' That's molto bene with us.