Plugin dev question – stop further conversions

I’m not sure this is the right place to post this, if not please let me know where I should ask the question.

I’m writing my first plugin (a filter) which is also one of my first PHP projects. I’m a bit confused over how my code works in WP and I assume I’ve missed something. After having stripped away all the code that actually did something I have a filter that returns the following text

<div><a href="xx"> <img src="yy" /> </a> text </div>

Which shows up the same way on the wordpress page. But if I change this to

<div><a href="xx"> <img src="yy" /> </a> <p>text</p> </div>

then I get

<div><a href="xx"> <img src="yy" />  </a>
<p>text</p>
</p></div>

when on the wordpress page. As far as I understand WP seem to do some processing of the code I generate … which in this case generates some faulty HTML code.

Can anyone please explain what is happening and what I can do to prevent the processing of the code I’ve generated.