Where did they go at the end of the book? I was very confused.
And it's quite good that they didn't have to fight for the Shire, it definitely would not have fitted.
Frodo, Gandalf, Elrond, Galadriel, Celeborn, etc. went to the Grey Havens at the end of the movie. I thought it was rather odd that they showed it, but didn't explain where they were going. The Grey Havens is a place across the sea that isn't part of Middle-earth (if you read the Silmarillion, it explains how Middle-earth was created, and if I'm not mistaken [I haven't finished this book yet] the Grey Havens is/was where the Ainur, who helped form the world with the blessing of Illuvatar, lived). Anyway, the Elves are going to the Havens because it is the end of their Age, and a new one is beginning.