The workshop ‘Physics with a multi-Megawatt (MMW) Proton Source' was held at CERN on 25-27 May 2004. It was organized by the ECFA/BENE working groups for future neutrino facilities in Europe and by the EURISOL nuclear physics community to explore the physics opportunities offered by a new high intensity proton accelerator. It confirmed the important synergies that exist between these communities. This document summarises the main design choices for the accelerators and experiments involved, the physics possibilities and the most critical R&D that will be necessary. A preliminary baseline road map is delineated