Italy is an Axis country located to the South of France on a narrow peninsula jutting out into the Mediterranean sea. It begins with a weak army and little economy. Furthermore France has significant defences facing the south which makes it difficult for Italy to break out and assist Germany in taking France. Italian troops and tanks are generally weaker than the other major powers counterparts. However Italy does possess many cities and more importantly an African colony in Libya which it can use as a base to take the whole of Africa. Italy should look to develop its potential with a strong economy and army.
Italy should use the small army that it begins with to take the two cities in front of the Maginot line one the French-German border and retreat. Defences are too significant in Southern France to break without artillery or AT guns. On the other hand Italy should build up its economy and take the fight to Africa. Build up an army and concentrate on taking Cairo while guarding the rear with bunkers. Denying Egypt early from the UK is huge and will prevent the UK from seriously threatening Africa again. Egypt is also a good choke point against Allied incursions from the East and West. Take the French colonies in Africa as soon as you are able. Additionally you might want to consider breaking down the French defences and break out to Southern France to put additional pressure on the Allies.
Using one SCV to build machine gun bunkers along the African coastline will allow you to take all the cities up to the Spanish colonies while the rest of your army can focus on taking Egypt. If Germany is still having trouble with France, you will have to build up additional forces in Europe. Consider bunkering up your border with France with AT bunkers especially in case France or UK blitzes you while you are busy fighting in Africa. Once Africa and France has been dealt with consider pushing through Syria and into Turkey if they went Allies. Doing so would give you control of the pass that leads to Russia which you can use to attack the Soviets from behind near Stalingrad.