Help Please!!!

[Tigerlily Gamgee]

Hi, this is my first post on this board. I just recently became a Tolkien fan (after seeing the movie) & in less then a month I have read The Hobbit & The Lord of the Rings trilogy. I am asking for help about the end of the third book. I have been reading through past posts, but I am still a little confused. I understand the Frodo goes West with Elrond, Galadriel, Gandalf, and others, but I am a little confused as to what "West" is. I have read of the Undying Lands in other posts, as well as a few other places. I am just curious as to where they sailed and what happened to them. My friend's theory is that they went to die, but I don't believe that (it depresses me too much). Can anyone help me? Am I making sense?