It really is that simple!
You can place the files anywhere on your site that you want to.
For example, you can upload the files directly to the root html folder or you can create a directory specific to each affiliate program if you want or you can create one directory specifically for cloaked URLs.
The choice is simply yours.
Just double click the file after you have purchased, to launch the software, and begin creating cloaking files.
There are simple instructions contained within the software.