I was thinking that the boat from the Grey Havens went to Valinor. Because the Elves knew how to get there following the straight road. I think Frodo might have went to the over the Great sea (Belegaer) into the city Alqualonde in Valinor. This is just a theory, it seems the most feasible of all other guesses. Because the Elves were the only ones knowing how to get to Valinor. I think this might be a break thru in the understanding of Tolkiens world.
Take a look of this useful link :
http://www.glyphweb.com/arda/m/middleearth.html
Take a look of this useful link :
http://www.glyphweb.com/arda/m/middleearth.html

