The Undying Lands, where the Valar and Maiar reside. They created the world under the tutilage of Eru (God) way back when, and came down into the world to help achieve it, and to fight Melkor, the renegade Valar.
They had a nice piece of real estate in the western part of the world (named the Undying Lands, cuz the folks who lived there didn’t die), and called a lot of the elves to move in with them, back in the day. Many elves made the move, lots stayed in Middle earth though.
When Melkor stirred up trouble, lots of the elves that lived in the Undying Lands moved out, marching back to Middle Earth to do battle with Melkor and his lieutenant, Sauron. This led to lots of battles, lots of legends, and eventually to Melkor’s defeat.
The nice men who fought alongside of the brave elves were given a lovely island (numenor) between middle earth and the Undying Lands to live on. These folks were ruled over by their king, who had both elven, Maiar, and mortal blood in his veins.
But the king’s descendants got unruly, and deluded by Sauron, tried to seize the Undying Lands, thinking they’d be immortal. They got whacked instead, the world was changed, and made round, and the Undying Lands removed from the world. Elves could still sail there, though. And elves could leave middle-earth whenever they chose, to sail to these lands. Men only ended up sailing around the world, ending back where they came from.
Non-rebellious Numenorians (the "faithful’) escaped the island’s sinking. They set up Gondor and Arnor back in Middle Earth, and were led by a descendant of Numenor’s first king, who was Elendil, father of Isildur (elendil was the descendant, that is). They fought Sauron there too, as did Elendil’s descendent, Aragorn.
Anyway, when elves have their mortal bodies destroyed, their spirits go to the Undying Lands, where they eventually get re-issued bodies, and then go hang with their friends, but they’re pretty much restricted to the Undying Lands.
Men, on the other hand, leave creation for points unknown when their bodies get destroyed. Hence “the gift of death”.
Clear now? As mud, I’m sure!