Which preposition is correct:
Willkommen bei Myspace!!
Willkommen auf meiner Website!
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As for webpages, German uses the same preposition it uses for pages in a book and that is "auf.
"Bei" is used whenever it is something more personal and long lasting. Hence, when you're "bei" Myspace, you have an account, when you're "auf" Myspace you're just on the page. That's why
Willkommen bei meiner Webseite wouldn't really work.
There are many examples where either works.
Das hab'ich auf/bei Wikipedia gelesen.
This is not fixed as of yet, so you might hear different versions.
If you explicitly refer to a site, use
However, Myspace, Facebook and Amazon.com are not only (names of) websites. There are services, social networks, encyclopaedias, databases, retailers and much more out there and it depends on this which prepositions you can use (additionally to auf).
As an example take Amazon.com. You'd rather hear
Das habe ich bei Amazon bestellt.
cause it's rather related to the retailer than to their site itself. It's the same with facebook. If you are not referring to the website itself (visiting it, describing certain features/functionality, etc), other prepositions than
auf might be more commonly used.