¡La Esquina de la Gramática! Rule 8

What about toponyms?

In Spanish it is optional to use the name of many countries with an article preceding the name: (el) Canadá, (los) Estados Unidos), (la) India, (el) Líbano, (el) Perú, etc. For these toponyms, the article is not part of the name, so you should write it with a lower case, and are also combined with the prepositions “a” and “de” resulting in the contractions “al” (a + el) and “del” (de el):

Nunca he estado en la India/ Nunca he estado en India

Viajó al Canadá/ Viajó a Canadá

Vengo del Perú/ Vengo de Perú

For other toponyms, you can not use an article: Iremos a Chile, No conozco Noruega.

See this list of demonyms showing the article in parentheses in front of the countries that can have articles: http://www.rae.es/diccionario-panhispanico-de-dudas/apendices/paises-y-capitales-con-sus-gentilicios

There are other cases when an article is part of the proper noun, so the first letter of the article should be capitalized: La Habana, El Cairo, El Salvador.

Source: http://www.rae.es