BuddyPress.org

— When i create a new blog, the navigation bar on sub blog has an bad url like: http://www.mysite/subblog/ —

It is normal = it’s not a “bad” URL. That’s exactly how it would be if you created a network with subdirectory structure when WP is installed in domain root.

— If user wants to go on his message there is this url http://www.mysite/subblog/members/mike/messages/
It’s normal ? —

It is normal if you Install BP in secondary blog, i.e. other than the main site. If you installed BP in main site, the URL would show up as http://www.mysite.com/members/mike/messages/