I am new to sharepoint and working on already configured project. A new site collection is created for a each user in my site.
I.e : http://mysite is my web application URL. For news and about us section all going good. But whenever i Click on tasks link. It will go to a new URL which is seems to be a new site collection URL. So newly created site collection doesn't inherit the master page.
Is there is a way to stop this ? means to stop a new site collection creation for each users?
Well, it is normal that new site collections are created for each user. It is used to store their Tasks list, their My Documents library, and other personal stuff.
If you want to prevent users from creating these site collections, you can deny them the right "Create Personal Site" in the User Profile Service (see this blog post for instance: http://www.toddklindt.com/blog/Lists/Posts/Post.aspx?ID=222). However you loose all related functionnality of course.
However these site collections should all use the same master page. So if your Sharepoint is not heavily customized, you can simple modify this masterpage.