Q:

Why do we "drive to the United Nations" but "drive to United Airlines"?

I understand why we "drive to Microsoft" but must "drive to the United Nations". 
But why do we "drive to United Airlines" rather than "drive to the United Airlines"?

A:

Because The United Nations is called The United Nations", not "United Nations" *, while United Airlines is called "United Airlines". 
Going beyond this, the UN is an organisation of nations, while UA is a company that chose a name. 
Edit: @fundagain points out that the official name of the UN is not "The United Nations". This is true. But I still maintain that it is called "The United Nations". 
The "NOW" (News on the Web) corpus has 24,393 instances of "The United Nations VERB" against 4,018 for "(not-'the') United Nations VERB" - but a quick inspection indicates that many of the latter have been mistagged, and a word which could be a verb has wrongly been categorised as such: for example "United Nations report". I estimate there are no more than a couple of hundred genuine examples. Of course when "United Nations" is used as a modifier in a noun phrase (eg "United Nations report") you wouldn't expect the article. 

