You never put 'the' before the name of a country. Ex. I live in India, I live in Greece, I live in Finland. But you have to say 'the' before United States of America because America is composed of 'states' and 'states' is a noun. You could say: I live in America, but you have to say 'I live in The United States of America' Another similar example is, you cannot say : I live in United Arab Emirates, you must say I live in The United Arab Emirates.

Although we do not use the definite article before proper nouns, we use it before common nouns and in "the United States of America" the article goes with "states,"not with "America." The USA was founded as a voluntary union of thirteen independent and sovereign states, not as a single entity named "America."

There are a number of countries that have "The" before their name; some formally, some informally, including The Gambia and the Sudan. BBC published a helpful article about this earlier in 2012: http://www.bbc.co.uk/news/magazine-18233844

Basically, you don't put "the" before proper names (ie. given names for people and places). The exceptions you do see, such as the USA, are descriptive names, even if the noun has been dropped.