Until the end of the Second Age and the Change of the World, there was a northern narrow gap of sea and ice between the Undying Lands and Middle-Earth.

This was called Helcaraxë, the Grinding Ice. It was over this bridge of ice that Melkor and Ungoliant fled after they destroyed the Trees and stole the Silmarils. They were followed by Fingolfin and a host of his people. Many were lost during the Crossing of the Grinding Ice at the begining of the First Age.
Encyclopedia entry originally written by High_King_Of_Gondor