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”?
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.