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Here is the default path the file was requested by the validator.
/w3c/p3p.xml
[w3.org ]
2.2.1 Well-Known LocationWeb sites using P3P MAY (and, are strongly encouraged to) place a policy reference file in a "well-known" location. To do this, a policy reference file would be made available on the site at the path /w3c/p3p.xml.
If you haven't read that entire w3c specification take the time.
Also the companion: [w3.org ] especially Appendix A.
I find some additional detail in the P3P-1.1 Working Draft [w3.org] of this past January. I think it just went to final call so will likely be a recommendation soon.
An excellent short tutorial on translating a site privacy policy:
[msdn.microsoft.com ]