What is the name of an anime about a boy 3 magical girls and their talking blue wolf companion?

The anime you're referring to is called "Magic Knight Rayearth" (魔法騎士レイアース). It features three magical girls named Hikaru, Umi, and Fuu, who are transported to a magical world called Cephiro and tasked with saving the princess Emeraude. Along the way, they encounter a talking blue wolf named Mokona, who serves as their guide and companion.