When you use the abbreviated form of a well-known organization and you pronounce each letter separately, then you use `the'. In the case of `U.N', for example, you pronounce the `u' as well as the `n' separately.

Other famous organizations which have to be preceded by `the' are `BBC', `CBI', `FBI' and `EC". In the case of UNESCO, the letters are not pronounced individually. You put them together and say it as a word. When the abbreviated form of an organization is pronounced as a word, then you need not put `the' before it. In the case of `OPEC', `UNICEF', and `NATO', there is no need for the definite article `the'.