Friend of Dorothy drinking Burgundy perhaps in provincial capital (7)
I believe the answer is:
toronto
'provincial capital' is the definition.
(Toronto is an example)
'friend of dorothy drinking burgundy perhaps' is the wordplay.
'friend of dorothy' becomes 'toto' (Dorothy's pet dog in The Wizard of Oz).
'drinking' is an insertion indicator (inserted letters are consumed or drunk).
'burgundy perhaps' becomes 'Ron' (Ron Burgundy is a character in the film Anchorman).
'toto' placed around 'ron' is 'TORONTO'.
'in' is the link.
(Other definitions for toronto that I've seen before include "Capital city of Ontario" , "Ontarian capital" , "major city" , "Canadian city" , "North American city" .)