I did enough research to conclude that it was not a settled issue. Its clear that if the initials were lower case and referred to a generic agency that deals with national security it would be "the national security agency" similar to the "the fishing tackle section of a sporting goods store." On the other hand a gander at DoD's style guide[1] makes it clear that they do not like the "the."
I'd love to see why you think its opposite. That's not dickish, that's a desire to answer a question that's been nagging me for a long time.
[1] http://www.dtic.mil/whs/directives/corres/writing/Writing_St...
From the english.SX:
"Is it proper to use “the” before the name of a government organization?" http://english.stackexchange.com/questions/76976/is-it-prope...
"Using the definite article with acronyms and initialisms" http://english.stackexchange.com/questions/30596/using-the-d...
"Definite article with proper nouns, titles followed by a common noun" http://english.stackexchange.com/questions/2327/definite-art...
"The definite article usage with objects that have names" http://english.stackexchange.com/questions/16988/the-definit...
"Capitalising the definite article in names" http://english.stackexchange.com/questions/84288/capitalisin...
Similarly, "the Department of Defense", "the National Security Agency".
Don't believe it? See what the agency calls itself on its website: http://www.nsa.gov/
"National Security Administration doesn't need Microsoft to break into computers." vs "The National Security Administration doesn't need Microsoft to break into computers."
Too much of a tangent, perhaps?