The Allies in particular need to cooperate if they are to win. Every nation must assist every other, especially when the task involves protecting supply lines. I also would suggest that the goal of Allied cooperation must be the utter annihilation of the Wehrmacht.
Russia turn one: Move against Ukraine with 8 inf, 3 tanks and 1 fighter. This will eliminate the immediate threat to the Caucasus and will wreck the bulk of the German army and airforce in the East. Send one fighter into the Baltic to sink the transport and the sub there. The sub won’t be able to retreat with the British fleet in the way. The sub should movde against the German sub in the Atlantic ( if it retreats, the Med is safe ), and the transport should sit off the British Isles as cannon fodder. The troops in Siberia should pull back Westward and avoid confrontation. The infantry should concentrate in Novsibirsk and Yakut. The tank goes to Novsibirsk. This is now your Eastern Army. Use it at your discretion, but make sure it lives. Build 8 inf and place them in Karelia, along with the inf from Moscow and the fighters ( if they both survived).
UK turn one: The fleet should by now be destroyed. Wipe out the remains of the Kreigsmarine and move any remaining fleet units back home. Assault Egypt with 1 inf from India and 1 inf from Syria, and the fighter from India. Move the lone infantry in South Africa into Kenya. Build a carrier and a transport.
USA turn one: First and foremost, IGNORE JAPAN! They cannot really hurt you, all they can do is harass, and realistically, unless you are willing to spend tremendous amounts of money while watching your allies in Europe get torn to ribbons, that is all you are going to be able to do to Japan. So, send Pac fleet to do some pittley little island hopping in the South Pacific and give some protection to Australia. Do nothing else to Japan. Send your bomber to England and place your fighters on the UK carrier. Send your transport to the UK laden with the tank. Build 3 transports and 4 infantry in the East. The US is now ready for a turn two assault on Western Europe with 1 tank, 2 fighters, 1 bomber, and 6 infantry.
Turn two: I think that it is almost pointless to outline moves after turn one, so all I will do past here is give general strategy objectives.
USSR turn two: Russia should push into Germany only as far as Eastern Europe, fortify that and turn East.
UK turn two: This one is easy. Use the momentum gained by the American attack to push in to the Fatherland as fast as possible.
USA turn two: The US has a couple of options from this point onwards. If you would notice the US is now in a position to hit European beaches once every other turn ( on even turns ). To continue this the US must build ground troops on every odd numbered turn. The rest of the cash is available for whatever you want, be it a fleet to hit Japan, an airforce to strike Germany, or a fleet to extend the range and frequency of your strikes at Germany. I reccomend the last option. Wherever possible, American units should be sacrificed to save British troops; they are the ones who will stike the fatal blow.