The difference lies in gender and number of the subsequent word. If the word after a personal pronoun is masc. sing., use "мой", for fem. sing. use "моя", for neut. sing. "моё". For the plural use the pronoun "мои". Note, that there is no difference in syntax between Russian pronouns as it is between English "my" or "mine". Grammatical gender does not anyway connected with the sex if it is at all. For example: Это мой стол (This is my desk or This desk is mine); Это мое дело (This is my business); Это моя дочь (She is my daughter); Это мои рабы (They are my slaves). The last letter of the personal pronoun is just the same as it was at the end of an adjective that would be used with such a noun: моЯ маленькаЯ дочь; моЙ письменныЙ стол... Thus, the last letter of pronouns and adjectives is a marker of gender and number of the noun these words relate to.