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.m4p as an file extension is almost identical to .m4a and .m4b extensions, thus being a MPEG-4 file container for encoded audio. The encoding (==compression method) of the audio can be virtually anything, but the AAC -based encoding is currently the most common one.
The one big difference between .m4a and .m4p is the fact that .m4p is copy-protected with DRM mechanisms, so it can't be played by unauthorized users at all. Virtually all of the .m4p files nowadays are audio tracks bought from Apple's iTunes music store.