I can't remember what each one stands for, but it refers to the size of the footprint/pads.
As an example, it's something like this for chip resistors, 0603, 0805 etc... (you can pick a footprint from each one and use CTRL+M to prove it's size).
L - about 10% smaller than N - use this if you are really tight for space.
N - NORMAL size, use this most of the time, if it suits you.
M - about 10% larger than N - use this if you want a larger than normal footprint.