Sauron was a Maia, In the begining there was Eru who is the one and before aught else was made he created the Ainur from his thought and they dwelt with him and from there Song he created the World.
The Ainur were divided into the great spirits or Powers - The Valar
and lessor spirits - the Maia.
The Maia appear to exist as "peoples" who follow one or other of the Valar and in the begining Sauron was of the people of Aule, the smith, the maker of things (Dwarves being one of his more elborate efforts) but he was seduced by Melkor and followed him into darkness and long served him is Middle Earth as his lieutenant.
When Melkor fell and was banished from the world Sauron escaped, but ever his heart turned to Darkness and he sought for mastery over middle earth and the children of Eru (Elves and Men)
Since Sauron is a spirit he is immortal and wears a physical form like you wear clothes. If you destroy one it takes him time to make another. There are other Maia in Middle Earth and their form differs as they are encased in flesh and subject to the weakness thereof, but I wont tell you who they are as that would spoil the adventure of discovery that is part of the works.
I suggest you read the Silmarillion to find out more - its more fun than other forum mebers telling you it all. Then you can come back with your questions on that mighty work and everyone here can help you out.