This is easy to achieve if you mean you want to redirect your users "My Documents" or U: (user) drive to their personal documents in their MySite.
You can use group policy just like you would if you were redirecting user folders to a shared drive.
Basically you just enable WebDAV on the IIS server that your SharePoint site is on and redirect users documents to: -
http://URL-to-Portal/personal/%username%/Personal Documents/
Or if you use active directory to map a drive to their documents you use the above as the location. From memory i think it moans about it not existing but it still works fine.
That is for the 2007 version (it is slightly different in 2003).