What is Gandalf?

[Eruhen]

I thought that valar created the wizards under 2nd age to help the people in middle-eart in the war against sauron.

Maeglin, the Istari weren't created per se by the Valar. The Istari were Maia who were told to go to ME by the Valar. The Istari were sent in corporeal bodies, which could die (as evidenced by Gandalf and Saruman), age, and they could forget their duty, which was to help the Elves and Men defeat Sauron. After their duty was done, the Istari were free to return to Aman.