In Middle-earth, Elves were born as Elves, Hobbits as Hobbits, and so on. Were the Wizards born as Wizards, or were they young men that somehow evolved as they matured into Wizards?
Answer
Like Raphael says, Tolkien's wizards, called "Istari" by the Elves, were not men but lesser deities (Maiar) of the same kind as the Balrogs and Sauron himself. That means that yes, Gandalf is essentially the same kind of "creature" as Sauron or the Balrog from Moria!
The Istari weren't always in Middle Earth, but were instead sent by the Valar to help Men (presumably against such perils as Sauron and other servants of Morgoth). Gandalf succeeded in his task; Saruman failed.
I don't know if there are traditional "wizards" in Tolkien's world, but I suspect there can't be. Magic in Middle Earth is hinted to be not really magic, but the "natural" properties of each type of being. Not something you can study and become proficient at...
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