Dagor Dagorath.

[Kahmûl]

It is said that this will be the last battle when Melkor will return to face Manwë, but if Melkor was thrown into the void then how could he return?

 

[Ponte]

It is said that this will be the last battle when Melkor will return to face Manwë, but if Melkor was thrown into the void then how could he return?

This is what is said in The Lost Road HoME V

Thus spake Mandos in prophecy, when the Gods sat in judgement in Valinor, and the rumour of his words was whispered among all the Elves of the West. When the world is old and the Powers grow weary, then Morgoth seeing that the guard sleepeth, shall come back through the Door of Night out of the Timrless Void; and he shall destroy the Sun and Moon. But Eärendel shall descend upon him as a white and searing flame drive him from the airs. Then shall the last Battle be gathered on the fields of Valinor. In that day Tulkas shall strive with Morgoth, and on his right hand shall be Fionwë, and on his left Túrin Turambar, son of Húrin, coming from the halls of Mandos, and the black sword of Túrin shall deal unto Morgoth his death and final end; and so shall the children of Húrin and all Men be avenged

This does not say how Melkor got out of Angainor but it seams like Eärendel must have missed him when he came back through the Door of Night.

Another thing that might be of interest is this, which gives the picture of a totally different Last Battle:

For 'tis said that ere the Great End come Melko shall in some wise contrive a quarrel between Moon and Sun, and Urwendi and Ilinsor shall be lost. So shall it be that Fionwë Úrion, son of Manwë, of love for Urwendi shall in the end be Melko's bane, and shall destroy the world to destroy to destroy his foe, and so shall all things then be rolled away.

The Shaping of Middle-earth HoME IV

 

[Beleg]

The Quotes Ponte posted belong to a time period when the historical and cosmological development of Arda was still in it's early stages and many ideas and concepts incoporated later into the mythology weren't present.
The refinment and extention of The Silmarillion after the completion of Lord of the Rings brought forth many essays in which the earlier concepts were greatly revised and in some cases completely altered.

In this case the concept of Melkor's return is explained in Myths Transformed.

Tolkien notes on the return of Morgoth in Myths Transformed.

The dark spirit of Melkor's 'remainder' might be expected, therefore, eventually and after long ages to increase again, even (as some held) to draw back into itself some of its formerly dissipated power. It would do this (even if Sauron could not) because of its relative greatness. It did not repent, or turn finally away from its obsession, but retained still relics of wisdom, so that it could still seek its object indirectly, and not merely blindly. It would rest, seek to heal itself, distract itself by other thoughts and desires and devices — but all simply to recover enough strength to return to the attack on the Valar, and to its old obsession. As it grew again it would become, as it were, a dark shadow, breeding on the confines of Arda, and yearning towards it.

 

[jimmyboy]

but if Melkor was thrown into the void then how could he return?

It could be some situation created or allowed by Eru, rather than him just escaping on his own doing. Since much of the Tolkien's Middle-earth stuff is parallel to Christian/Jewish biblical accounts, then this situation is likely similar to the last battle in the bible. In this account, the Enemy (satan) is bound up for a thousand years. He's thrown into the Pit for that time so that he's unable to do his evil work among men. During this time the earth has a time of peace, where "spears will be beaten into plowshares, and the lion will lay down with the lamb." (OK, the quotes may not be exact.) But after this millenium he'll be released (not escaped) and he'll once again go into the world of men to test their hearts, and turn many to himself. Then the final battle, which is commonly called Armagedon, takes place in the valley of Megido. A big difference between this account and Tolkien's story is that Messiah will be the one who finally forever throws down the Enemy, not a man or angel.

So this is one possibility of how Morgoth makes his return.