You should definitely read the books. They’re great.
If all you’ve seen is the movies, I’m not surprised you couldn’t figure out where Frodo was going with the Elves. Short answer, “Elf Heaven”. Long answer involves reading a lot of material. Medium answer - the Elves aren’t native to Middle Earth, they have a homeland that mortals can’t ordinarily go to, and once the elves go home they can’t come back to Middle Earth. Frodo was allowed to go with them because of his role as Ringbearer.
And because he no longer had the Precious. Like this one.