Ahhhh my fault, what an idiot I am! I checked the affiliate details in the the admincp and it was because I'd preapproved an affilitate without http:// at the beginning of the url. Changed that and now it works like a dream.
I made the board redirect template change mentioned earlier for better compatibility with Firefox - it works well, although in some cases you have to manually click "proceed" but it's a small price to pay.
Thanks so much for this.
Also, some people were asking how to make affiliates open in a new window. I made the following edits to allow that:
Basically in each case it's a case of adding target="blank" where ever needed - to save people the time of wading through the template files I've added a text file for the edits.
Can we get an affiliate thread going? We can really use this hack to its full potential then