If energy doesn't have a mass how does it exist, and what is energy "really"

What is energy made from and if it is massless how is it possible to transform energy into matter, and if the only way to change mass into energy completely is to collide it with anti-matter, so what happens to the atoms of that matter and does it disappear completely. Sorry for my bad english and grammar.

Gravity doesn't have mass either..

There is 3 types of energy

Kinetic

Potential

Electro-Magnetic