I wrote about P3P a very long time ago, and have implemented it on several websites. Some history, the W3C crafted the P3P policy.
Microsoft introduced P3P support in IE6 (in 2001) and it remains implemented in all current versions of the browser. The primary intended use is to block 3rd party cookies within the browser on behalf of the user.
Interesting enough, Microsoft has had been a bit of a struggle with Google and Facebook, which send the following HTTP response headers.
P3P: CP="This is not a P3P policy! See http://www.google.com/support/accounts/bin/answer.py?hl=en&answer=151657 for more info."
P3P: CP="Facebook does not have a P3P policy. Learn why here: http://fb.me/p3p"