It is a fairly common scenario that people don't want anyone or some groups of people to create My Sites but it always suprises me how few people know the answer to. This can all be achieved through the SSP:
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Go to the relevant SSP
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Choose "Personalization services permissions"
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From here you can control permissions for different groups to "Create personal site"
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Users will not see the "My Site" link in the top right hand corner of the page if they don't have permissions to.