Sooner rather than later, this header will be real. If you follow the blog of Arch Robison, you probably can guess what it is intended to be for :)
For now, you can either delete the line(s) that #include "affinity.h", or add an empty file with this name into the folder with TBB headers.
Thank you for noticing it and letting us know; and our apologies to everyone affected.
The issue is fixed in the most recent developer snapshot; take it from the download area of http://threadingbuildingblocks.org
My prediction that the header will become real, however, completely failed :) As the initial affinity prototype improved and matured, the file became unnecessary and simply had gone.