For an ad to be approved, yes, you do have to put a link on it. It can be a link to an ad you have on an escort mall, like EROS, or anywhere else you have an ad. To put the link in there, you open your ad, and copy the link from the bar, then paste it in the link box.
It just can't be from another review site, as they are competitors of TER and TER prohibits mentioning their names on this site. Once you get a website, you can then use that.