For this example, I am going to use Conexa.
On the right-hand side, enter your information and click Next.
On the next page, tick the correct additional information and click Next.
Has you can see, on the left-hand side it has created a Privacy Police page for Conexa. I suggest you add the page to the footer of your website with the Terms & conditions. One more thing you need, so that you are covered with EU laws is a Cookie Consent banner.
There are plenty of free WordPress plugins that will do this for you, Jetpack being one of them
Now your affiliate website will be covered under all EU laws etc.
I hope that people find this helpful, it is good for people that are on a budget as this service is 100% free.