There are various solutions for my problem, all discovered with the help of Paul Gaborit's comment.
I list three solutions, two of them do not need any additional library, one require the intersections library
Without any additional library
The easiest solution consists on usgin in-built positioning options, that allow to mark a node with various combination of midway, at start, at end, near start, very near start and so on (I have not found a complete list...).
In this case, the code
\begin{tikzpicture}
\draw (4,3) .. controls +(0,-2) and +(0.2,1) .. (5,0)
node[near end] {$\bullet$}
node[near end, right] {$P$}
node[very near start] {$\bullet$}
node[very near start, right] {$M$};
\end{tikzpicture}
yields me

These commands are in fact just particular values of a more general one, the pos option, that takes value in [0,1]. You can specify wherever you want your point on your line. I therefore get my desired result with this code :
\begin{tikzpicture}
\draw (4,3) .. controls +(0,-2) and +(0.2,1) .. (5,0)
node[pos=0.8] {$\bullet$}
node[pos=0.8, right] {$P$}
node[pos=0.1] {$\bullet$}
node[pos=0.1, right] {$M$};
\end{tikzpicture}

With the intersections library
So first, one needs to add \usetikzlibrary{intersections}
The above solutions enable to place the point everywhere, but do not allow to place it at a specific coordinate. If I want for instance the intersection of my curved line and the y=2.5 line, one needs the follonwing code :
\begin{tikzpicture}
\path[name path=y2] (4,2.5)--(5,2.5);
\path[name path=y1] (4,0.5)--(5,0.5);
\draw[name path=trajectory] (4,3) .. controls +(0,-2) and +(0.2,1) .. (5,0);
\fill name intersections={of=y2 and trajectory} circle (2pt) node[right] {$M$};
\fill name intersections={of=y1 and trajectory} circle (2pt) node[right] {$P$};
\end{tikzpicture}
Important points are : you need to name the objects you want to intersect, and to precise the number of your intersection (here only (intersection-1) as there is just one).
The section Intersections of Arbitrary Paths in the Tikz-pgf manual gives more complex illustrations.

posoption (section 17.8 "Placing Nodes on a Line or Curve Explicitly", p. 235, pgfmanual, v3.0.1a). – Paul Gaborit Oct 26 '16 at 11:54intersectionslibrary (section 13.3.2 "Intersections of Arbitrary Paths", p. 138, pgfmanual, v3.0.1a). – Paul Gaborit Oct 27 '16 at 23:29