Continents, countries, cities, separate islands and mountains don't have an article.
A continent: Asia, Africa, North America, South America, Antarctica, Europe, Australia
A country: China, Indonesia, Finland, Argentina, Canada
A city: New Delhi, Milano, Stockholm, Singapore, Tokyo
An island: Greenland, Cyprus, Madagascar
A mountain: Mount Everest, Mount Fuji
We put the definite article before the names which contain the words "Republic", "States", "Kingdom", "Union", or are in the plural, and also before the groups of islands and mountain chains.
A country: the United Kingdom, the Czech Republic, the United States of America, the Netherlands
Groups of islands: the British Isles, the Galapagos Islands, the Samoan Islands
Mountain chains: the Andes, the Rocky Mountains
We put "the" before geographical names of water objects — oceans, seas, rivers etc.
Oceans: the Atlantic (Ocean), the Pacific (Ocean)
Seas: the Mediterranean (Sea), the Carribean (Sea)
Rivers: the Nile, the Amazon River, the Rhine