When the Edain were gifted the land of Númenor by the Valar, near to the Blessed Realm, a ban was placed upon them not to sail any further west than to where they could still see the shores of their own land.

This Ban of the Valar was broken by the last of the Kings of Númenor, Ar-Pharazôn. When he and his fleet sailed into the west, and they dared to step foot on the shores of the Undying Lands, Eru showed forth his power and the lands were changed. So came about the Downfall of Númenor.
Encyclopedia entry originally written by Nienna-of-the-Valar