You'd have to read The Silmarillion to understand that; the Undying Lands are inaccessible to the world of Men, Dwarves, Hobbits etc. Even if they attempt to sail westerly as soon as they reach, well, not even where the Isles of Númenor were (if I remember correctly), the waves and the torrent of water would sweep them back East towards Middle-Earth. The isles of Númenor were as close as Men got, to the Undying Lands. It was their paradise, a utopia, but then Sauron (if I remember correctly) deceived the Men of Númenor and the isles were gone forever (if I remember correctly).This could be a stupid question, but y didn't everyone just go to the undying lands?
The Hobbits, Bilbo and Frodo Baggins were exceptions due to their valour and bravery in the saving of Middle-Earth from Evil, so they were granted safe passage to the Deathless Lands.