Aman was the name given the continent in the uttermost West of the world. The continent of Aman was also known as ‘The Blessed Realm’ and ‘The Undying Lands’ (“undying” because those whose lands these were, were immortal/did not die).
Valinor was the central region of the continent of Aman and was founded by the Valar after the destruction of their ancient home, Almarien. Valinor means ‘Land of the Valar and it was a great plain in the central section of Aman where they had their dwellings – house, halls, gardens, and gathering places. It abutted up against the Pelóri, a mountain range that ran a great distance along the eastern edge of the continent.
Tol Erresëa, Tirion on Túna, Alqualondë were a number of the places where the Elves dwelt in Aman. While the Elves preferred to live in these places for their own reasons, they were not restricted from visiting Valinor.
Map of Aman
The Valar could grant mortals the grace/permission to come to Aman and to Valinor and they did so for a few mortals who were especial friends of the Elves and gave aid in the battle against the darkness and the shadow. They could not, however, bestow immortality on mortals who came to dwell in Aman. And eventually those mortals would have died/passed beyond the circles of the world.
One of the reasons given for mortals not being allowed en masse to Aman can be found in
Morgoth’s Ring: ‘Myths Transformed’;
Aman and Mortal Men. To make what is quite long, short – Man’s ultimate fate is to depart this world. That fate does not change because he might dwell in Aman. And in fact, dwelling in Aman would be quite upsetting for most men, as they would surely note their own rapid aging in comparison to the beings of Aman. It would cause the men great distress. There would be a growing rage and a sense of injustice about their mortality for the majority of men, instead of the healing, and peace of mind which might be acquired there. "He would not escape the fear and sorrow of his swift mortality that is his lot upon Earth, in Arda Marred, but would be burdened by it unbearably to the loss of all delight."
You can also read somewhat of this
HERE - in the Barrow Downs' FAQ, as previously mentioned by Elu Ancalime.