The first thing that Iluvatar created was the Ainur (from his thoughts). He then bade the Ainur to sing to him, which was called the Ainundale, or the music of the Ainur. Melkor (one of the Ainur) created a discord to the music, and Iluvatar added three themes to the Ainulindale, which talked about the fate of Arda.
Eru gave the Ainur the choice to use the vision provided in the music to create Arda and its people's. Those of the Ainur who went and created it were henceforth known as The Valar. They created Valinor (the Undying Lands) where they lived with the first elves and the Maia. And Middle Earth where Humans, Dwarves and the Evils created by Melkor resided.
Map of Middle Earth
This Map highlights the Regions in Bold that were still strong in the Third Age, and faded out, the Regions which had fallen or been defeated, prior to this Age.
This is the primary homeland of the Elves. Following the Last Alliance of elves and men in the end of the Second Age, many of the elves withdrew from human affairs and started heading towards the boats and harbor that would take them to The Undying Lands. Other than Lindon the 3 areas where there are large Elvish settlements were Mirkwood, Lorien and Rivendell. By the Fourth Age practically all the elves had gone to Lindon or the Undying Lands.
This is a realm that was founded in the early second age by Elendil the Tall. A leader of the Last Alliance and also a Numenorean, a member of the purest and strongest race of men. Their warriors were so powerful, that they brought the mighty Maiar Sauron to his knees and humbled him. Elendil fled here after the destruction of the isle of Numenor. He founded Minas Tirith and Osgiliath and Minas Ithil (Later called Minas Morgul).
His sons founded the adjacent region called Arnor, however this was a peaceful region due to the Gondorian buffer between them and Mordor, and so not at all prepared for war. Therefore when the Witch King arrived in Angmar in the North and founded his palace and declared war on Arnor, they were easily defeated.
This great Land was given to Eorl the Young by a Steward of Gondor as thanks for the aid of the Rohirrim in a battle against Mordor. They built Edoras their capital and built great stables for their horses, and built Helm's deep. Famous for its staging of a battle against Saruman here.
This is the land inhabited by the Maia Sauron ,servant to Melkor and owner of the One Ring. He was the cause of the Last Alliance, and the War of The Ring, his servants brought about the destruction of Arnor and sacked the Gondorian capital of Osgiliath. Mordor is a hot, bitter and dry land. Unsuitable for supporting any life save the enormous thorn bushes and foul orcs.