M4P refers to protected mp4 files that contain only audio data.
The p stands for protected, so protected. These files contain aac encoded audio data using the lossy compression method.
M4P is a proprietary version of the aac format that Apple iTunes uses for DRM (Digital Rights Management) FairPlay protected files. This DRM variant limits the number of computers and devices on which the file can be played.
In order to play an M4P file, the corresponding computer must be authorized using iTunes. The files are linked to an iTunes account and a maximum of 5 computers can be authorized with the same account data. Winamp needs a plugin to play these files.