That's a bummer.
Here's what I did. I don't know if it's better or worse than what MS does. I'd be interested in feedback.
I logged into wordpress directly (i.e.
http://yourdomainhere.com/wp-admin), clicked on "widgets" on the left hand side, and dragged a text widget over to the sidebar.
I then put this HTML into the text widget:
<a href="http://yourdomainhere.com/yourprettylinkname" target=_blank><img src="http://somedomain/somepicture.jpg" border=0></a>
The first link is your pretty-link URL, which masks your affiliate URL.
The second is a link to a picture on the site you're affiliating with. You could in theory put some text before the </a>.
I made a couple of ads like this. I also used an Amazon ad in one place, which was nice because their affiliate tool generated the HTML for me, and all I had to do was cut/paste it.
Like I said, I don't know if this was a wise or foolhardy approach. But as far as I can tell, it works fine.