Federated Recommendation is a new service architecture providing recommendations without sharing user data with the server. Existing methods deploy a recommendation model on each client and coordinate their training by synchronizing and aggregating item embeddings. However, while users usually hold diverse preferences toward certain items, these methods indiscriminately aggregate item embeddings from all clients, neutralizing underlying user-specific preferences. Such neglect will leave the aggregated embedding less discriminative and hinder personalized recommendations. This paper proposes a novel Graph-guided Personalization framework (GPFedRec) for the federated recommendation. The GPFedRec enhances cross-client collaboration by leveraging an adaptive graph structure to capture the correlation of user preferences. Besides, it guides training processes on clients by formulating them into a unified federated optimization framework, where models can simultaneously use shared and personalized user preferences. Experiments on five benchmark datasets demonstrate GPFedRec's superior performance in providing personalized recommendations.