When you visit any website (including MySpace, but it's no different from others), your 'IP address' is recognised by the host server. (That has to happen or the site wouldn't know where to send the data that makes up the page which you want to view). An IP address is just a set of numbers which is allocated to your PC by your ISP. (Some ISPs allocate a 'static' address, which is the same whenever you connect to the internet. Others allocate a 'dynamic address' which you just have for one session).
So, the website you're visiting will 'know' your IP address. From that, it's possible to work out which ISP you're using. However, only your ISP knows which user has been allocated which IP address, so there's no way that the website you're viewing (or anyone connected with that site) can know the identity of someone who's visiting it.
There's just one exception to this. If you've registered with a site, that site might place a 'cookie' onto your PC, so that it recognises you when you visit it. e.g. like many AB users, I never have to log in because AB's server 'knows' which user I am through the cookie it's placed on my PC. Even then, it only 'knows' me as 'Buenchico'. It doesn't know that I'm really Fred Bloggs of 23 Acacia Avenue, Scunthorpe.
If you registered with MySpace (so that the site would have some way of 'knowing' you, other than by your IP address), it might record the fact that you'd visited certain pages but, even then, it would only 'know' you by your screen name. As long as you were careful about what you put on your profile, nobody could ever identify the 'real' you. If you're not registered, only your IP address is made known to MySpace and, as indicated, that's insufficient evidence for anyone to trace you (apart, of course, from the police, who could serve a warrant on your ISP if you'd been doing something you shouldn't).
Chris