Detecting $_GET parameters from any page + Cookie

This should work, though untested.

<?php
add_action('send_headers', 'affiliate_redirect');
function affiliate_redirect() {
    // it's possible to use 'if( !empty( $_GET['affid']) )'
    if( isset($_GET['affid']) && '' != $_GET['affid'] ) {
        if( empty($_COOKIE['affid']) )
            setcookie('affid', $_GET['affid'], time()+2592000, "https://wordpress.stackexchange.com/");
        header('Location: http://mysite.com/about/');
        exit;
    }
}