If the word "the" is a proper part of the name then it should be capitalised ("The"), but in some cases it may be open to interpretation whether this is the case, so different people may use different capitalisation styles. The question of why some proper nouns are prefixed with "the" or "The" and others aren't has been discussed here several times before. The conclusion has been that there is often no good reason: usage is highly idiomatic (not subject to obvious rules) and often has to be learnt on a case-by-case basis.
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