MP4 files are video files that uses MPEG-4 compression, a standard made by the Moving Picture Experts Group (MPEG). The MP4 format is widely used for sharing high quality video files on the Internet, e.g. on YouTube. Final Media Player will allow you to play them on your Windows PC.
MP4 Definition - What Is MP4

MP4 is an abbreviated term for MPEG-4 Part 14. It may also be referred to as MPEG-4 AVC, which stands for Advanced Video Coding. As the name suggests, this is a format for working with video files and was first introduced in 1998. The MPEG refers to Motion Pictures Expert Group who is responsible for setting the industry standards regarding digital audio and video.

MP4 is a container format, allowing a combination of audio, video, subtitles and still images to be held in the one single file. It also allows for advanced content such as 3D graphics, menus and user interactivity. Because MP4 was a reliable application that required a relatively low amount of bandwidth, just about everyone could take advantage of using the tool. This was especially true as technology made it possible to create more powerful desktop and laptop systems that had a larger hard drive and could command more power.