The Ainur are the original spirits, created from the thought of the “One”, Illuvatar. According to The Silmarillion, they “were the offspring of his thought, and…with him before aught else was made” (pg. 3).
The story of the creation of Ea is told in The Ainulindale, the first section of The Silmarillion.
Many of the Ainur still dwell outside of Ea with Illuvatar, but some, such as the Valar and the Maiar , descended into Ea to carry out the “Song of the Ainur”, the theme of which was given to them by Illuvatar.
The Ainur of beings of spirit, and do not need to take physical form, but many of those who have entered Ea take forms of power and beauty. The Valar and the Maiar dwell in Aman, a land far west across the sea from Middle Earth, and unreachable save at the will of the Valar.
A few of the Ainur who descended into Ea came not to assist in the “Song of the Ainur”, but to foment discord and destroy the beauty the others wrought.
Prominent among those are Melkor, who was once the highest of the Ainur; Sauron; and the Balrogs.