P3P is a machine readable privacy policies for a web site. It is a W3C standard on how to specify privacy policies for a web site. The standard has both a human readable part to it, as well as a machine readable part. The standard can be found here with errata and other information about it at P3P here.
Currently IE6 will be supporting a feature that reads the machine readable p3p policy of a web site. Depending on the settings in the options dialog, it may disable certain features of the browser, such as the capability of setting cookies, unless there is a p3p file in place, and the file matches the user's preferences. So unless you implement a p3p policy on your web site, some users may have a bad experience visiting your site.
