For example:  We don't use the before most proper names.

• names of countries (Italy, Mexico, Bolivia) except the Bahamas, the Gambia, the Netherlands, the Philippines, and the United States
• names of cities, towns, or states (Seoul, Manitoba, Miami)
• names of streets (Washington Blvd., Main St.)
• names of lakes and bays (Lake Titicaca, Lake Erie) except with a group of lakes like the Great Lakes
• names of mountains (Mount Everest, Mount Fuji) except with ranges of mountains like the Andes or the Rockies or unusual names like the Matterhorn
• names of continents (Asia, Europe)
• names of islands (Easter Island, Maui, Key West) except with island chains like the Aleutians, the Hebrides, or the Canary Islands

Examples:

I live in Mexico.

Are you going to Los Angeles.

Which street is Shoreline Community College on?  It's on Greenwood. 

NO ARTICLE.

Why do we use "the" before some names? Read this.