You mean to create a referral URL such as example.com/refer.php?id=485748 or something along those lines?
I guess what you mean is cloaking your affiliate url - that is, make something.com/afflink.php?ref=abc1234 into something like something.com/go-to-page.php? Here is one way of doing it - http://hackwordpress.com/how-to-hiding-your-affiliate-links-using-wordpress/
Here's an article of doing it the way sax mentioned and a more easier method. http://www.rockfuse.com/blog/cloak-your-affiliate-link-to-make-more-money
No it's not what I want. For example a user is posting rapidshare links and I don't want rapidshare to find out where the link is coming from.
I think there is a wordpress plugin for that. You can check it out in the plugin list. Incase if you dont get you can leave me a messge. will find it out for you.