You could trigger cookie setting with the img tag. <img src=http://affiliate-link-to-ebay.com>; would set the cookie on most browsers.

I don't know if that works anymore because my "affiliate" time is well long over but I guess this loophole has been fixed long since.

IIRC iframe was a little problematic with some websites as they had frame break out scripts [1] - so you had to be creative.

The golden wild west times ... I somehow miss them. Money was lying on the information super highway - you just had to pick it up ;)

[1] something like http://www.thesitewizard.com/archive/framebreak.shtml