No nation wins World War II alone, not in history and not in the game. Understanding how factions, guarantees and world tension work keeps you from reaching the war isolated and without allies.
Factions
A faction is a group of countries that commit to defending each other: if one goes to war, the rest do too. You can create your own faction or join an existing one, and several major powers already start inside one (the Axis and the Allies in the historical game). Being in a faction is nearly mandatory before any serious war — fighting alone against a power with allies is much harder.
Guarantees and Pacts
Besides factions, there are more flexible diplomatic tools: guarantees of independence (you commit to defending a country without formally joining its faction), non-aggression pacts (reduce the risk of being attacked while in effect), and military access (to move troops through another country's territory). Use them to protect weak neighbors you want as a buffer zone, without committing to a full alliance.
World Tension
Many aggressive actions (justifying a war, annexing territory, mobilizing the army) are limited by what the game calls world tension: the higher it is, the more room you have to take aggressive decisions without penalty. Early in the game tension is low, so the more aggressive actions cost more war-justification "points." As other countries go to war with each other, world tension rises and gives you more room too.
Common Mistakes
The most common mistake is going to war with no allies or guarantees, relying only on your own army. The second is not watching what wars your faction might drag you into — before joining one, check what commitments its other members already have.