Consider the following scenario:

You have an intranet web application named: 'http://mywebapp' it has it's own Content Database named "MyWebApp_Content".

You want to setup and configure My Sites to be used via the URL 'http://mywebapp/mysites' and you want all your My Sites content to be stored in it's own new Content database named "MySites_Content"

Essentially this is using one web application with two content databases. Zac has this covered earlier in his post "Multiple Content databases which is the default" on how he has moved sites to two databases in WSS. My post also follows the same principal.

Chris Johnson (CJ) has this covered in his post "Moving your MySite location in MOSS" but hasn't got details on how to get this working with a separate content database.

Following steps outline how to configure your existing web app 'http://mywebapp' to host ‘My Sites’ to be stored in a separate database

1. Go to “Application Management” and select “Content Databases” under “SharePoint Web Application Management”
2. Select the ‘http://mywebapp’ web application. And select “Add Content Database”
3. Create a new DB and name it: "MySites_Content"
4. Once this DB is created select the existing database named: MyWebApp_Content.
5. In the “Manage Content Database Settings” for 'MyWebApp_Content’ select Database status to “Offline”

This will ensure that no new site collections are created in the default content database 'MyWebApp_Content'. Taking this content database offline only prevents new site collections from being created. Users are still able to create sub sites and items and use the existing sites

4. Go to Application Management and select “Define Managed Paths” under “SharePoint Web Application Management”
   
   
   
5. Select the 'http://mywebapp' web application and create a new path named ‘mysite’ and select “Explicit inclusion”
6. Create a another managed path named ‘personal’ and make it a “Wildcard inclusion”
7. Go to “Application Management” and select “Create Site Collection”
8. Ensure that the path selected is 'http://mywebapp/mysite' **(Important)**
9. Name it ‘My site host’ and select the “My Site” template from the templates list from the “Enterprise” tab
   
   
   
10. Go back to Central Administration and select the Shared Services Provider configuration
11. Select “My Site Settings” and Set "Personal site provider" to "http://mywebapp/mysite/" and "Location" to "personal"
    
     
    
12. Go back to Central Administration and enable “Self Service Site Creation” for the web application ‘http://mywebapp’

Now you should be able to use 'http://mywebapp/mysite' and see your My Sites under the same URL and all content related your my sites will be in your new 'MySites_Content' content database.