Well, that's simple. There aren't multiple deities.
There is one God; Eru Iluvatar. He created the Valar, you could see them as arch-angels, sent to Middle-Earth to look after the world, and shape it, but in the end everything goes according to Iluvatar's will.
And then there are the Maiar, which you could see as regular angels that have come to Middle-Earth, with the Valar, to help Iluvatar's children (elves and men).
People often confuse the Valar with Gods because they're practically omnipotent, BUT they're not gods. There is only 1 God; Eru Iluvatar.