MT4 stands for MetaTrader 4, the most popular Forex trading platform in the world. This electronic trading platform is owned by MetaQuotes Software Corp. It can also be used to trade CFDs. You can download here the version for PC.
What makes it so popular is that it is free and the wide variety of programs developed for this platform. These programs range from simple market analysis tools (MT4 indicators) to complex robots capable of operating the market automatically (MT4 Expert Advisors or simply MT4 EAs).
For more details about MT4 read this post: MetaTrader Overview.