Rockman Hoshi ni Negai wo  

MegaMan: Wishing upon a Star, Rockman OAV

The anime episode you're referring to is Episode 2 from the Mega Man Cartoon Series by Ruby-Spears. It was intended as a special episode for the series, which originally aired in the US around 1995. However, before it could be included in the show, Ruby-Spears decided to redo their entire production with a new design better suited for American audiences. As a result, Episode 2 did not fit the new style and was never officially released as part of the series. Two more episodes were produced later under the title "Rockman," which featured Rockman traveling from the Game-World to Japan to learn about cultural differences. These episodes are unknown if they ever saw an official release until 2002, when Capcom of Japan re-released them on DVD for Rockman's 15th anniversary. It is also unclear whether there are any other secret animated works from the original Mega Man game series.