According to legend, two Immortals were brought into existence by the Most High Being, and endowed with supernatural powers: Alnarya and Morrak. He granted them governance over different aspects of the reality of Halestia. These two created several other Immortals and delegated their responsibilities. All the Immortals created, through the powers of the Most High, the mortal races.
They are spirits and exist as raw supernatural power. They can manifest bodies, but the bodies are not vulnerable to normally lethal conditions. They do not die of old age, do not fatigue from physical exertion, are immune to disease and poison, and are invulnerable to environmental extremes. They cannot be injured by conventional weaponry, but are vulnerable to magic, spirit power, and weaponry endowed with either of these forces. However, even Immortals whose bodies have been killed can simply manifest another.
As spirits, they reside beyond the veil: just outside our world. There is no location in the physical world that is believed to be their "home." However, it's believed that Selragh guards the gates to the spirit world, and ultimately decides whether a mortal spirit is condemned to torment in the Underworld, or peace in the Bosom of Heaven.
Immortals who manifest in the mortal world can become invisible or pass through normal matter at will. They can read thoughts and communicate telepathically to anyone within eyesight. They can magically change their form to any sentient race or animal.
Immortals are not player character races, nor are they intended as a combat challenge for a party. The Immortals make great otherworldly points of contact, advisers, informants, or devices for back story. An Immortal could make a great campaign villain, but its downfall should be through indirect means (the use of some powerful artifact or forgotten magic), not through physical, combative, confrontation.