Why does Gandalf have the third elf ring?

Ok, i just finished reading LotR for the second time, and i noticed something i missed the first time through. Gandalf is wearing the Third elf ring. WHY?!!!! Why would he have it. He's not an elf, he's a wizard, or an Istiri, if i'm not mistaken. Did he always have it? How did he get it? Someone please let me understand.