Perhaps you should read the entire book. It really helps matters!
The King of the Dead is the leader of the Army of the Dead, who "live" in the Paths of the Dead (no kidding!). The Dead were originally Men (of a lower "level" than the Numenoreans) who had pledged allegiance to Isildur, son of Elendil, when the latter first came to Middle-earth. When the recruitment for the Last Alliance started however, the later-named Dead Men refused to help, since they had worshipped Sauron earlier (don't ask why, some people are just.... strange). Isildur then cursed them to be undead until they pledged their allegiance to his heir, in the distant future, to fight against the same evil. (The Heir was Aragorn, and the evil was Sauron risen again).
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But Melkor also was there, and he came to the house of Fëanor, and there he slew Finwë King of the Noldor before his doors, and spilled the first blood in the Blessed Realm; for Finwë alone had not fled from the horror of the Dark.
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