Well that is a hard question to answer since it is such a long story, and I'm not sure how much you know of The Silmarillion or the history of Middle-earth. You could look in The Silmarillion for a more complete answer, but I'll tell you part of it...
In the beginning of the world, after the Eldar awoke for the first time they were summoned to Valinor by Manwe, the Lord of the Valar. They there built cities and lived in perfect harmony with the Valar until Melkor made them distrust the Valar, which is why they went to Middle-earth, East of Valinor. But still, Valinor was always where the elves longed to be after that.
In another aspect of this, the elves are immortal. They can't die of old age or sickness, but when they have lived for thousands and thousands of years they begin to get weary of their time on Earth. So then they can sail into the West to Valinor, to where they feel best at home and where they long to be to find true comfort and peace. They cannot die like any mortal being can, so that is what they do once they are tired of their time on Middle-earth.
Like I said, that was the extremely extremely short version, and there is a lot more to it, but I hope that answers your main question at least somewhat...
Another reason I think Valinor is not heaven- is because it is only for elves, very few of other races are allowed there, and only by premission of the Valar.