There is a nice article about what this links does and how to change your default my site.
Set or change your default My Site
However what I wanted to do was to *remove* default my site settings from my PC, so it would stop prompting me for account credentials. (Yes, I understand credential prompt could be a different issue, but in this case it’s trying to access a different domain on on of my client’s farm which requires VPN connection. One of my colleague clicked on the damn YES button when he was working on my PC)
Long story short, I used ProcMon to trace the activity back to a registry key. Deleting the registry key solved my problem (which in term, removed the "’default my site’ settings on my PC)
Portal key contains a string value PersonalSiteURL pointing to the link in the above dialog box.