A lot of you already do this but why don't you just create a .php file? Open up notepad, insert the below code (adding your affiliate link), name the file anynameyouwant.php and load it up to your webserver. Then just use the anynameyouwant.php file for the affiliate URL.
Code:
<?php
header("Location:http://www.put-your-affiliate-link-here.com/");
?>