For more information on building affiliate stores with WP All Import visit http://www.wpallimport.com/affiliate-stores
Import a Commission Junction (or any other network) XML or CSV file to WordPress with WP All Import and create an affiliate store in less than 15 minutes.
Update Nov 12th 2014:
This tutorial is relatively old, check out the new version here: https://www.youtube.com/watch?v=ILA8F7fZWM4
WP All Import v4 has just been released and makes it much easier to import products. WooCommerce integration is available so you'll be building your affiliate stores with WooCommerce when using the new version.
Many networks other than CJ also offer XML and CSV datafeeds.