The "M" selection manually overrides the electronics and puts the car in the gear you have selected, 1, 2, or 3. I'm pretty sure it locks out of OD, so it would be 3rd in D as well.
It's mostly for traction limited situations, where you don't want the car spinning it's tires in 1st in snow, ice, etc.
I only wish I had realized this before I got stuck at a friends house during the ice storm we had last winter. Luckily they have a spare bedroom.
2002 BMW 530i
1997 Ford Mustang GT
1995 Honda VFR 750 (For Sale)
1964.5 Ford Mustang