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Hi Markus,

>[...] a model with two covariates. this 
> doesn't look right to me, because both variables (pain and anxiety) seems 
> to be regarded as equal and not one as the one which i want to ask the 
> correlation and the other as the variable i want to control for.

I think this is simply a matter of using a contrast that tests the one 
you are interested in (e.g. zeros over all other columns, with a 1 
corresponding to this column), while ignoring the other. Simply having 
the other in the design matrix will control for its effect.

Hope that helps,
Ged.