One of the things which is haram for the menstruating woman, is vaginal intercourse. This is haram both for the man and woman  , even if only the glans enters and there is no seminal discharge. As a matter of fact, as an obligatory precaution, it is forbidden for even less than the entire glans to enter. As for anal intercourse, it is extremely makruh but not haram. Even on the days where the woman’s menstruation isn't certain but she has to legally consider it to be so, intercourse is haram. Now if one commits this forbidden act of intercourse during menstruation, he/she will be liable to kaffarah (atonement) and has to act according to what has been mentioned in the risalahs (tawdih al-masa’il/books of legal verdicts) of the maraji’.  
The response of Ayatullah Mahdi Hadavi Tehrani (may Allah prolong his life) regarding this question:
Penetration of the qubul (vagina) during menstruation is impermissible, but other lustful acts that satisfy the wife by the husband, without penetration taking place, are permissible.
Therefore, what is haram for the woman during menstruation is vaginal intercourse, but satisfying her through means other than intercourse is permissible, such as caressing and foreplay.
For further information, see:
3- Using a condom during intercourse, Question 1304 (site: 1288).