My dog won’t listen.

Four days ago, I’ve finally gotten my first dog. Her name is Dolly, she’s 11 months old, and she’s a rescue dog (Jack Russel terrier). She has separation anxiety and has anxiety meds for it but, she doesn’t eat them. She’ll smell it and walk away even if it’s hidden in a chunk of peanut butter or cheese. She ignores her food when served and I’ve tried guiding her with a leash indoors. She doesn’t listen for anything. I went on the walk with her and she constantly pulls and sits down when she doesn’t get to lead where she wants to go. I’ve had to pick her up and carry her home because of it. I’ve tried food motivation or her favorite toy and she doesn’t listen. I know not to repeat a command multiple times and I still don’t get why she doesn’t understand. The vets said that she had mild anxiety and was super sweet and all that but, I’m struggling with her a lot. I really want to build a relationship with this dog but, I don’t know where to start even. Any tips?