A bad explanation of Tolkien mythology and the story of Rings of Power (Revised, Full, with Hidden Spoilers)
In the beginning, Eru (the Creator) created the Ainur. The Music of the Ainur created Eä (the Universe) and Arda (the World). The Ainur who entered that Creation as its guardians are known as Valar (greater Ainur) and Maiar (lesser Ainur).
The Ainur are beings of Ëala (incorporeal spirit). They create Fanar (physical manifestations) to house their Ëalar so that they can be physically present in Arda.
In a sense, Ainur are angels. Valar are the upper choir and Maiar are the lower choir.
Many of the Ainur who entered Creation have names. One of them is Vala Aulë (the Smith). One of his associates, Maia Mairon, eventually shifted allegiances to Vala Melkor (the Mighty).
Vala Melkor, the bad boy of the group, was cast out and retreated to Arda. He continued to misbehave on Arda, stealing three Silmarilli and destroying the Two Trees for good measure. The Elves didn’t like this, and gave him a new name: Morgoth (the Great Foe). His new associate, Maia Mairon, assumed a new name for himself: Sauron.
Details aside, a Great War was waged, Morgoth was defeated and cast out to the Void (outside Eä), but Sauron remains at large.
In response to the trouble caused by Sauron, Vala Manwë (the King) formed the Heron Istarion (Order of Wizards) to deal with the problem.
At this point, Rings of Power goes all fanfic, and everything we assumed goes out the window. Just roll with it and click through the "Keep Reading" to see all the spoilery details, both major and minor.