Enter it on the affiliate's main site? Not usually but it depends on the affiliate/advertiser's policy for tracking sites the ads are on.
If you mean you need to enter a link to your advertising site on your blog, then yes, you need to make some links to each site you want to advertise, or copy and paste the site's special HTML into your blog entries.
There may be ways to automate your posting of ad code, but I don't recommend it. Each post needs a bit of TLC and fine-tuning to fit in perfectly with the content of your post.
Sometimes I keep a bit of extra code for a footer at jotthisdown.com. For example, it could say "Lionel Houde has a horse and monkey needs store at [affiliate code]" or the like, and I put it at the end of each post. That keeps me from having to monkey with too much code and it helps me stay on track with writing instead of visiting random advertisers I work with.
Shoemoney offers an excellent free course on basic affiliate marketing, so hopefully they may be able to lead you to a transparent, easy-to-understand marketing program of your own choosing and liking.