The following applies to SharePoint 2007.
When you first create a My Site, SharePoint will ask you:
“Microsoft Office can remember your My Site to synchronize documents store here in Outlook and to show it when opening and saving files.”
What does that mean? Simply, you’ll get a new shortcut on your file open and save dialog boxes that gives you a direct link to your My Sites site.
And if your SharePoint server administrator has added “Published Links to Office client applications” you may find additional links to SharePoint content in file open and save dialog boxes and in data connection dialog boxes.