We present near-infrared H-, K-, L- and M-band photometry of the Galactic Center from images obtained at the ESO VLT in May and August 2002, using the NAOS/CONICA (H and K) and the ISAAC (L and M) instruments. The large field of view (70 x 70) of the ISAAC instrument and the large number of sources identified (L-M data for 541 sources) allows us to investigate colors, infrared excesses and extended dust emission. Our new L-band magnitude calibration reveals an offset to the traditionally used calibrations, which we attribute to the use of the variable star IRS7 as a flux calibrator. Together with new results on the extinction towards the Galactic Center (Scoville et al. 2003; Raab 2000), our magnitude calibration results in stellar color properties expected from standard stars and removes any necessity to modify the K-band extinction. The large number of sources for which we have obtained L-M colors allows us to measure the M-band extinction to A_M=(0.056+-0.006)A_V (approximately =A_L), a considerably higher value than what has so far been assumed. L-M color data has not been investigated previously, due to lack of useful M-band data. We find that this color is a useful diagnostic tool for the preliminary identification of stellar types, since hot and cool stars show a fairly clear L-M color separation. This is especially important if visual colors are not available, as in the Galactic Center. For one of the most prominent dust embedded sources, IRS3, we find extended L- and M-band continuum emission with a characteristic bow-shock shape. An explanation for this appearance is that IRS3 consists of a massive, hot, young mass-losing star surrounded by an optically thick, extended dust shell, which is pushed northwest by wind from the direction of the IRS16 cluster and SgrA*.