It appears to be a bug... in your website under www/App_Code there is a file called BaseStorePage.vb. In this file there is an event that starts with this

Private Sub Page_Init(ByVal sender As Object, ByVal e As System.EventArgs) Handles Me.Init

You want to move the content of this method to the method that looks like this

Private Sub Page_PreInit(ByVal sender As Object, ByVal e As System.EventArgs) Handles Me.PreInit

The contents of the PreInit method will then end up looking like this (In SP2) it may vary slightly in SP1... You just want to add the contents of Page_Init to the top of Page_PreInit. It appears that the assigning the affiliate was simply happening after the master page had already been loaded (which needs to happen in the PreInit stage)

Private Sub Page_PreInit(ByVal sender As Object, ByVal e As System.EventArgs) Handles Me.PreInit
'log affiliate request
If Not Request.Params(WebAppSettings.AffiliateQueryStringName) Is Nothing Then
Dim affid As String = String.Empty
Try
affid = Request.Params(WebAppSettings.AffiliateQueryStringName)
Contacts.Affiliate.RecordReferral(affid)
Catch ex As Exception
EventLog.LogEvent("BaseStorePage - Page_Init", "Error loading affiliate " & ex.Message, Metrics.EventLogSeverity.Warning)
End Try
End If

Anthem.Manager.Register(Me)
'If this is a private store, force login before showing anything.
If WebAppSettings.IsPrivateStore = True Then
If SessionManager.IsUserAuthenticated = False Then
Dim nameOfPage As String = Request.AppRelativeCurrentExecutionFilePath
' Check to make sure we're not going to end up in an endless loop of redirects
If Not nameOfPage.ToLower.StartsWith("~/login.aspx") Then
Response.Redirect("~/Login.aspx?ReturnUrl=" & HttpUtility.UrlEncode(Me.Request.RawUrl))
End If
End If
End If
End Sub