Ah, I'm so sorry for the very late reply, your comment got a bit lost between the others!
It is difficult to explain, if your really interested in it, I recommend you to read or hear the first chapters of the Silmarillion, there is everything explained!
Maybe let's explain it like this: There is a hierarchy, first, there is
Eru (or also called Illuvatar), he is like the main god or father of the gods. He created the
Valar, which are kind of gods, too, they have also great powers to rule and create things, and together Eru and the Valar created the world.
The Maiar have also a lot of power, but not that much as the Valar have, they are like the helpers of the Valar.
Sauron and the wizards are such Maiar, so they're not human or demons.
I think there were already plans to do a movie or series for the Silmarillion, but actually the story is way to complex for this. So I don't know if they'll do it.
There are in general 5 wizards: Saruman (the White), Gandalf (the Grey, later the White), the two Blue Wizards (called Pallando and Alatar) and Radagast (the Brown). The two Blue Wizards aren't mentioned often in the movies or books, because they went into the East of Middle Earth (the story of the Lord of the Rings and so on takes place in the West). Know one knows what happened to them.