As other answerers have observed, acronyms (like UNESCO) generally do not take a definite article and initialisms (like UNHCR) generally do. However, there are a number of exceptions to this rule—especially instances where initialisms appear without a definite article.
Some of the exceptions fall into recognizable categories. For example:
U.S. broadcast networks: ABC, CBS, CNN, NBC, NPR, PBS.
Corporations: AMC, AT&T, BMW, EMI, GE, GMC, IBM, PG&E, RCA, UPS
Airports whose ID codes are actual initialisms: BWI, DFW, JFK, MSP, SAT, SJC
Time zones: CST, EST, GMT, PDT
Government programs: AFDC, SDI
Common noun phrases: DNA, ESL, ESP, GAAP, HIV, HR, LPG, LSD, OCR, OJ, PR, PT, RAM, REM, RNA, TKO
Although acronyms that normally take a definite object are much rarer, they do exist. One example is "the NASDAQ" (referring to the composite index of a U.S. stock exchange whose acronym is NASDAQ); another is "the OGPU" (a Soviet-era predecessor to Russia's FSB and SVR).
None of this is to say that the general rule that acronyms generally appear without "the" and that most initialisms—at least of proper names—are preceded by "the" is bogus. But the rule is not universally applicable, so it's wise to see how other people tend to express a particular initialism/acronym to confirm whether it follows the rule or stands as an exception to it.