I agree with that it is difficult to win as the allies in 41 set-up.
A couple of things I have done that may help:
- Buy tanks with Russia on the first few turns with a couple of men as you can afford.
- Try to get a plane or two going as well as Russia needs to build an attack force.
- Always leave one man on your front line so Germany has limited pieces to kill.
- Always take back what Germany captures if possible but do not leave your attack pieces exposed for counter attack. Must recapture adjacent countries to Moscow at all costs.
- UK should take out Findland for Russia so that back door is closed.
- UK can also hit Poland or actually put men in Karelia. (Russia looses the NO bonus so make sure it is lots of UK guys to be worth it.)
- US should go at Japan but should try to get at least a transport or two in the Atlantic going over to Africa if possible.
- Take out Italy fleet as soon as possible to take back control of the Med.
These are some suggestions that have worked for me. Hope this helps. 8-)