The standard strategy was to pile infantry and all Russian forces into Karelia. If the Axis attacks first turn, they have a chance, albeit a small one, to beat that force. If they don't attack, by the second turn, Russia has nearly thirty infantry in there, plus tanks and aircraft. With UK/US bombing pressure from the West (perhaps an invasion into Western Europe if the naval struggle goes Allied way, usually a suicide mission though), the Russians can keep building a sizeable force. If Japan threatens, some infantry moves east, but pressure from the US keeps them occupied.
The "Karelian Fortress" strategy pretty much worked every time. Germany can't afford to attack with everything, leaving it vulnerable on the other side, but it also can't counter with the same force without sacrificing territory and giving the Allies a chance to build a bomber force.
It's not as simple as that, but I can't remember the other moves. There were some strategic retreats in the Pacific which made for some sizeable forces to counter the Japanese. It's been at least seven years since I've seen the game though.
Conquest of the Empire -- that's it! Great game.