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 memory. This one is an even faster memory. It is used for saving information regarding the current task the processor is working on. It is very small, but helps avoiding repetitive read operations to the RAM, increasing performance a lot in some applications. This is particularly important on modern processor due to them having multiple cores sharing a unified cache. This means that one core won't need to read from RAM if another core has already loaded the data into the unified cache. If there was no unified cache, each core would have its own cache and they would end up loading redundant information.