There are so many Amazon programs it's hard to tell which one you're talking about. There's regular associate that you don't need a site for, then there are: marketplace assoc, marketplace premium, merchant, merchantpro, sellercentral merchant, and on and on. The worst thing is that some of the premium programs charge the exact same amount (around $40). I got into trouble once when phone support told me to click the "upgrade" button and pay $40, then it turned out I did it in the wrong place and they spiked my account. Took me a log time to straighten that one out. You can't just say "the seller acct I paid $40 for" because that applies to a few different ones. They REALLY could have changed the amounts by a dollar or two to make it clearer.
I've never had a problem with the associate account I got through my regular az customer account. they never asked me for a website either. When I was logged in looking at books I clicked one of the "sell yours!" links and was set up in a jiffy. That gave me an associate ID to insert into templates, and I can get widgets from my az associates page to put on other sites. But to do this you have to have BOUGHT something from them using that login. Once you're a customer it's easy to become an associate.
And what do you mean by direct link? that's what the program is for, someone clicks your az link and goes to their site. I's designed as a direct link.
If you're concerned just do a weebly or something and show them that. Or if you want to get more involved put up a site on your server or some free hosting account and use one of the CB (or other) templates that include az sidebars. Don't sweat it, it's not too big a deal.
Another easy way is buy an amazon upfront store such as associate o matic or the easy store and you can make a niche store in few hours. Then register a domain name, u will have your own website with lots of products.