+P means plus pressure. SAAMI sets the maximum average pressure limits for all standardized sporting cartridges in the United states. Loadings that are loaded to +P pressures are above and beyond what SAAMI sets as a safe maximum average pressure.
For example the standard pressure limits for the standard 9mm Luger cartridge is 35,000 psi. A +P load will generate 38,500 psi. a +P+ load will generate 40,000 psi.