See adjacent selectors on W3.org.
In this case, the selector means that the style applies only to paragraphs directly following another paragraph.
p selector would apply the style to every paragraph in the page.
This will only work on IE7 or above. In IE6, the style will not be applied to any elements. This also goes for the
> combinator, by the way.
See also Microsoft’s overview for CSS compatibility in Internet Explorer.