It means your processor has 4MB of cache memory inside it. This is the fastest and most expensive memory, since it has to be built into the CPU. To help understand the different types of memory:
1. Storage memory. Your hard disk is an example. This is the cheapest and slowest memory and is used to store programs and data.
2. Runtime memory. This would be the RAM (= Random Access Memory), which is the memory used to load stuff into when you need to run it. This is because your storage memory is very slow and would drastically limit your computer's performance, so instead of running from storage memory, it will load applications into the RAM. Once in the RAM, your processor will have access to the data it needs a lot faster.
3. Cache...