We present the results of infrared L-band (3-4 micron) and M-band (4-5 micron) VLT-ISAAC spectroscopy of five bright Ultraluminous InfraRed Galaxies (ULIRGs) hosting an AGN. From our analysis we distinguish two types of sources: ULIRGs where the AGN is unobscured (with a flat continuum and no absorption features at 3.4 micron and 4.6 micron), and those with highly obscured AGNs (with a steep, reddened continuum and absorption features due to hydrocarbons and CO). Starburst activity is also present in all of the sources as inferred from the 3.3 micron PAH emission line. A strong correlation is found between continuum slope and CO optical depth, which suggests that deep carbon monoxide absorption is a common feature of highly obscured ULIRG AGN. Finally we show that the AGN dominates the 3-4 micron emission, even if its contribution to the bolometric luminosity is small.
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