Im not sure what OpenX does, but it sounds like some sort of ad management software? Does it allow you to connect with Web Services platforms?
I cant answer all your questions very well, but maybe I can a least confuse things a bit more :-)
_ Encrypt Link? (pros and cons) (I cant think of any cons, but the pro's are keeping things neat and making it more difficult for prying eyes.
_ Hide tracking code in link? (Same as the above really.)
_ What's the SID? (Shopper ID, allows you to pass a variable to CJ who will pass back transaction information back to you pertaing to that ID.)
_ What's the reason for redirects? SEO? (Reason is CJ cant track using first party cookies without redirecting through their own servers. In short they cant track without redirects)
_ What kind of redirect should I use? (Are there mutliple kinds?)
_ Does the merchant get all my keywords in the referrer field? (I think CJ can see your key words, but I dont think the merchant can.
_ is there some way to test that purchases are getting tracked? (Yes, do a test purchase and see if it was tracked :-)