This procedure is for sony xperia mini pro updated with official ICS v4.0.4. and is for people who dont want to unlock their bootloaders.
Before you start install PC companion and check whether the phone is detected by the sony pc companion. If it is detected then u already have the necessary drivers. You should not proceed if the phone is not detected.
1. Head here and follow the procedure step by step. Read the requirements and preparations very carefully any mistake here may definitely brick your phone. It is a great post and self contained. All the downloads required are excellently linked. Thanks to the dev for highlighting the procedure beatifully with illustrations. At the end of this procedure you have rooted the phone without unlocking the bootloader.
2. Now to the next default step after rooting any phone. Installing Clockworkmod Recovery. This is a part of the ROM manager. This gives you a recovery console, form where you can backup the current rom(Which you should be the first thing after installing CWM), Install custom ROMs(Google is your friend), Install great mods(These are minor modifications to the already installed roms, official or custom roms). Here is the tool you are going to use to install CWM on your rooted xperia mini pro. The tool is windows only and requires .net framework 3.5. Download the zip, extract it and run the .exe in the folder. You get a window as shown in the post. Click the 'select option' drop down box and choose 'clockwork mod....' and click on the install button. Read the instructions very carefully and meet all the requirement specified. Now you have CWM without unlocking the bootloader.
Thats it. Now you have entered the infinite area of customization of your phone just head here to find out the zillion things you can do with your rooted mini pro. Just observe the passion with which the devs give out their hardwork for the general public so that the utility of the device people have bought is maximised.
Thanks to all the devs and users at XDA, MIUI, AOKP and other Android modding communities for unleashing the real power of android phones and bringing this power to the masses.
Thanks to google for keeping the OS open(would love to see it GPL'd so that we could label it GNU/Android)