I agree with those who doubt that Don and Joan ever had an affair. There is evidence, actually, in Season 1 ep. 5 that I think can be taken at face value. Don walks out of his office and Joan, looking after him, says to Peggy:

Would she so easily pretend nothing ever happened with him, when at that point, she had already blithely hinted to Peggy about making a ‘mistake’ with Paul? I think not.
I think Don and Joan simply have known each other a long time, and we’ll get to see perhaps some flashbacks or hear references to events that happened at SC in the 1950’s. That’s all.
yes. i think we’re in complete agreement here.
Wait, wait, Chump, what are you responding to? Whatchu mean it dunt signify fallen loins? Basically, what I said was: If...
really loves Roger, as well.