"Lord" on its own is a title, usually used with a name: "Lord Kitchener", "Lord Soper" or, of course, "Lord Voldemort". It replaces "Mr", and you don't use "the" with it (you don't say "The Mr Smith", for example).
"The lord" would be a certain lord. For example, "The lord of the manor" was the person in charge of the land on which the farmers worked. Here it's not a title or a form of address, just a description -- you use it in the same way you use "the man", for example.
"The Lord" (with a capital "L") usually refers to God. It is a translation of the Hebrew "Adonai". You use the definite article unless you are addressing him directly: "Oh Lord, I pray to you...".
In many Bibles, "the Lord" is also used to translate the holy name "Yahweh" (or "YHWH", because Hebrew has no written vowels), but most use capital letters ("The LORD"). This is because Yahweh is considered by some (especially Jews) to be too holy to pronounce, and many Jews say "Adonai" instead. A few Christian Bibles use "Jehovah" or even "Yahweh", but not many.
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