You can say my in Korean in many ways. You can say 나의 (pronounced as na-eei). If you want to say, for example, this is my pencil, you'll say 이것은 나의 연필이다. This is more a formal way.
But, if it is informal, you can say 내 (pronounced as ne). It is kind of a shortened way of the informal way, 나의.
