I second CWO Marc’s “training game” idea. The combination of training games and post-game “after-action reviews,” in which everything from unit purchases to moves was discussed, is how I taught my wife to play G40.
Step one in getting new players up to speed - and this is critical - is to make sure they read the rule book themselves, rather than you trying to explain the game on the fly. I learned this the hard way, after my wife became frustrated by my repeated “you can’t do that” interjections, followed by an explanation of the rule she was violating.
In particular, my wife benefited enormously from the after-action reviews, as they were quite thought-provoking and always left her inspired to try new strategies (and thus, looking forward to playing again). As we played, I made brief notes. After the game, I’d refer to those notes to prompt questions, such as, “On UK4, you were obviously building your Normandy invasion force. Why did you buy two submarines?” and so on. A respectful back-and-forth on the merits of purchasing two subs vs. four infantry helped my wife develop her A&A strategic thinking and planning skills. As a result, her frustration with G40 has been largely reduced to one we all share: good strategies thwarted by unlucky dice.
A final note: We made our own setup charts for each power. On the back of each chart, we printed that power’s National Objectives. I still find it beneficial for myself, not to mention newer players, to go around the table before each game and have players read their NO’s aloud. Doing so gets everyone thinking about achieving their own objectives, as well as preventing the enemy from achieving theirs, allowing the seeds of strategy to germinate before a single move is made.