The United Kingdom is one of four major Allied factions in WW2. At the beginning of the game, the UK controls the British Isles, Egypt and a city in Portugal. This puts the UK capable of fighting in almost any theatre, as well as having a strong defensible position, capable of building up its industry in relative safety.
Allies begin in a disadvantageous position with three major axis powers on the continent. Using the ability blitzkrieg and without some ingenious defense by the French and UK players, France would usually fall in the first few minutes of the game, and become the US. However as the game progresses, Allies become much stronger and usually ends the game by Soviets invading and defeating all the axis players. To help them out, the UK and Soviet players are given extra money in the form of convoys that will periodically appear to the west of the United Kingdom.
The UK is in a prime position to take many cities at the beginning of the game. Immediately build a landing transport and send it to Iceland, and build some SCVs in Egypt to take the city to the west of Egypt. Begin making preparation for a landing on France or Ireland.
Allies primary concern at the beginning is to defend France. This is generally not possible without UK sending forces to France, as well as UK building unit production facilities in France. British Infantry are tough and a good match against Wehrmarcht infantry. Fighting off the initial push would allow France to bunker up and stabilise, as well as giving UK a good staging area to strike back at Germany. Holding the line at France may force Italy to attack from the south and East German Command to help out, weakening Germany for the Soviet push.
Cairo should be defended and used as a staging ground to take the continent. United Kingdom should build up its airforce, especially bombers that can be used to harass Germany industry and forcing the Axis players to invest in AA defences. Investing in a carrier might not be a bad investment. UK should be attacking Germany them with planes or tanks or making a landing on Continental Europe.