This comes from a longer address at a student missionary convention held in Cleveland, Ohio. You can read the rest of the address at this link:
Let me tell you how I received it the first time? May we all receive it together. I was very hungry for it. I knew I hadn't received the best. I had no power with man and little with God. I went to a great convention of Christian people in the hope that I would hear about it. And they spoke much concerning it, and the more I heard the more I wanted it. They said they would have a prayer meeting on Friday night at nine o'clock to get it. I went to the prayer meeting and stopped there until about eleven o'clock, and I got no nearer to it. There was a great deal of noise and singing and men cried "Hallelujah" but it didn't seem to help me. At last I could stand it no more and I crept out of the tent, under the curtain, and away out into the dark night along a lonely road that led out of the little town. Stars were shining—I can see them now, clouds drifting across them, letting a shower of rain now and then fall upon my upturned face—and I took the way up to the hills and presently got far up among the hills, with the heaven above and the mountains around and the gleam of the lake in the distance. I walked about there and said: "My God, if there is a man in all this place that wants the anointing of the Holy Ghost it is I; but how to get it I don't know." And a voice said—I am sure I shall find some day in heaven the angel that said the word—"As you took forgiveness from the hands of the dying Christ, take the anointing from the hands of the living Christ." I took forgiveness years ago from the hand of the Crucified, and I now had to take the same blessed Spirit from the hand of the Risen One, the Christ. The word Christ means anointed; it is He who anoints. The high priest anoints the priests, the king anoints the kings, the prophet anoints the prophets. So I stood and I said: "My God, as I breathe in this deep breath of the air I breathe in my spirit the filling and anointing of the most Holy Spirit." I waited and just opened my whole heart, as I want you to do now. I threw all my heart open to the Spirit and said: "Now, Spirit of God, come in Pentecostal power and anoint me, fill me and witness with me in all my future life." Just that one act, one act in the last five minutes, may change your life as it did mine. I have always been different since then. I turned to go down the hill, and as I went a mocking voice said: "You are a fool, you have nothing." I said: "I have." The voice said: "You haven't." I said: "I have, I reckon I have." The voice said: "How do you know? Do you feel it?" "No," said I, "I don't." "Then how do you know you have got it?" "I know I have it because I reckon on God's faithfulness. He would never bring me to the point to claim a thing, and then tantalize me by withdrawing it. I took it by faith, and I have it, and I am going to keep it by faith." When I got back down to Keswick a number of clergymen were standing around. They said: "Well, did you have a good time?" I said: "I don't feel much." They said: "Then you haven't got much." I said: "That doesn't follow. I have got it all." They said: "How do you know?" I said: "I know. I have learned a lesson to-day to take the Spirit of God by faith." They said: "Let us go and talk about it." We had a talk about it, and I found out that they reckoned they were filled with the Spirit and anointed when they felt much, while I hadn't had the feeling to start with, and whether the feeling went or came didn't matter much, I was going to reckon by faith. There we talked about it in the dark. And a young Scotchman, a Glasgow man, said: "May I ask a word, sir?" I said: "Certainly." "Well, sir, you have been talking a good deal about feeling the Spirit or not feeling the Spirit. I am sure that feeling is not the gauge of it, but"—says he—"the presence of Christ. When I have most of the Spirit I have most of Jesus. If ever I lose the sense of the presence of Christ half an hour in my manufactory I go into my counting room and lock the door and kneel down and say: 'Spirit of God, what have I done to grieve Thee, that Thou hast withdrawn the sense of the presence of Christ?'" And we all said: "That is it, you have hit the nail on the head this time. It is Jesus we want, and when we are filled with the Spirit of God we are filled with Jesus."
That was a revelation to me—that I could receive the Spirit by faith. I couldn't believe it. And within a month Pastor Stockmeyer happened to be in Scotland, staying in Glasgow, and I was staying at the same house. One evening, when he went to his bedroom, I crept after him and said: "Pastor, I must ask you one question." "What is it?" "I have learned the most wonderful thing in my life—that I may receive the Spirit of Pentecost by faith, naked, unemotional faith. Am I right?" He said: "Certainly." I said: "You mean that a man if he is clean can receive the Spirit by faith, without agony and without emotion?" He said: "Certainly." He called me as I was going out and said: "I think, if a man has received the Spirit of God, there may not be great rapture, but there will be a solemn sense that God has come very near him, and the people that look at him will know that though he is perfectly natural, yet there is a new light on his face, a new gravity in his walk, a new something." And I think that is so. If after this moment that we are together, you go helter-skelter out of the door, and one says one thing and one another, I shall feel that you haven't received Him. There are some you haven't met for years. You will grip them by the hand and say: "I am glad to see you." That is all right. Then you will say: "Hasn't God come near this evening? Didn't He come very near you?" "Yes." "Have you made a start?" "Yes." "We were friends before, but we are closer than ever." With such talk as that God will know it is a genuine thing. If you should shout hallelujah and laugh and cry, I should think it was wholly emotion, and that when the emotion left it would all go. In India and China, when there are no conventions, you will go alone beneath the palm in the grove, in the midst of the noise of heathen ceremonies, and you will just take and take the anointing of the Spirit. I don't know how many hundreds of times in my life I have taken it; I keep taking it all the time. When you once learn to do it, you will never, never drop it. Let us now receive Him—not it—Him to be the anointing. Let us pray.—Taken from an address given at a student convention that was held in Cleveland, Ohio February 23-27, 1898, and recorded in the The Student Missionary Appeal, Addresses at the Third International Convention of the Student Volunteer Movement for Foreign Missions, pp. 3-17