This is a very good question. I often see new players get frustrated when someone pulls a sneaky move on them, or their plans get ruined by a small technicality in rules. The key is not to play for them, but make them think with probing questions:
“Is this fighter going to do anything this turn?”
“Are your AA guns going to sit on Holland all alone?”
“How are you going to deal with that Italian cruiser and battleship?”
“Wow, did you know that four planes can scramble to protect Sea Zone 109?”
“Are these guys in Australia going to just sit around while Japan eats my China?”
“Can you try to knock out that ANZAC destroyer and transport so they don’t take Brazil?”
“What if Japan built an airbase on Kwangsi?”
“Do you think you could successfully kill both British fleets?”
“Whatcha gonna to do if my French AA gun kills three of your planes?”
There are to ways to subtly point out a possible problem by requesting the destruction of a certain enemy force as a teammate or making a somewhat cheeky comment as the enemy: “You’ll be ‘rekt’ by my Luftwaffe, hehe.”
Another good one is to simply point out the units that the new player is forgetting to move: “Are those guys in South Africa going AWOL?”
When suggesting strategy, don’t make specifics. Instead, argue a certain theory: “I think that Italy can become a beast if at least two of its transports survive.”
This might be needles to say, but don’t belittle anyone or give the blame for anything. Although you should never go easy on new players (the hard way is the best way to learn), take an active interest in adapting to your opponents’ weaknesses by trying new strategies yourself.
As a teammate, point out enemy weaknesses and tell your buddies where they are not defended well enough. Strike up conversations about advanced tactics such as blocking, blitzing, and bridging. If possible, introduce them to the shorthand of calculating odds: “With six tanks, you should average three hits on the first round because…”
I really like Grim’s idea to try to speed up turns. Getting bored because of delays is sure to make your new players angry, especially if they wait an hour just to get diced in the battle they engaged in. Strongly stress the randomness of battles and the fact that nothing is guaranteed. Give them the analogy that although it is the general (them) who decides operations, it is the troops who have to do the fighting; the dice represent this.
And most importantly, have fun and keep a fun atmosphere ever present. Tell WW2 jokes. Play some GI Jive in the background. Talk about future games and ways to improve. Rolplaying and comraderie among teammates is sure to brighten the dark days on 1940.