Hit Low countries and France, ignore Maginot - meanwhile hit Sweden - 3 x corp, 1 x Army (2 x C + 1 x A amphib at the capital - 1 x C for the mines from Norway), plus a cruiser bombarding can sometimes get you a surrender next turn - if it doesnt, you'll need a HQ + Luftflotte as well to end it.
Spend most of your MPPs on Luftflottes and set them up along the channel coast (after France surrenders), amphib attack UK with massive air support.
Italians attack Vichy (2 x Army plus build a HQ) - It navy sweep western Med clear, build a third army to finish european Vichy France, then amphib armies plus HQ to Africa and finish Vichy off (can send a german corps to get points).
As soon as UK falls start redeploying for Yugos and possible last turn USSR declaration.
You can get Low Contries, Sweden, France, Vichy in the demo before the USA can intervene - I always leave the possibility that USSR may intervene on, as it forces me to deploy troops to cover it - as it will in the full campaign, so its good practice.