I know that it is dust blocking the light. But what is this dust made of, gases or more heavy materials. If it is gas why is it not already drawn together in nebulas?
The light in this band originates from un-resolved stars and other material that lie within the Galactic plane. Dark regions within the band, such as the Great Rift and the Coalsack, correspond to areas where light from distant stars is blocked by interstellar dust.
Cosmic dust consists of small particles of matter from the periodic table which have the usual properties of matter and can be detected in various ways, as the article linked extensively discusses.