It seems heavily favored to the Allies. I play as Axis and my aircraft can not even put a dent in Malta. I invade France and my tanks do not seem a match for their infantry. How can I make transport ships? Not sure about this game.
I just got the game myself and have only played it once as allies so my experience is limited, but here's my take...
If you play from the start (1939, Fall of Weiss or whatever it's called) it does seem like the Axis have their work cut out for them. UK and France have about twice the economy so Germany really needs to leverage their superior set of starting land units and translate that into plunder and more income -- and they have to do it FAST before UK/France get a chance to build up. (The Axis AI seems to be pretty good about pulling troops away from the Poland front even before Poland has fully fallen in order to put those troops to work in the west. Also I noticed the AI uses strategic movement to move things like one of its HQs quickly rather than its normal 2 hexes per turn.) Income taken from France basically counts double because it's a plus to the Axis and a minus to the Allies. Playing as Allies I messed up in multiple ways (tried to fortify French troops with a UK HQ which apparently does not work, used planes to attack land troops which doesn't seem to be a very economical thing to do unless the troops are near death and you can finish them off, got my ships hammered and lost a lot of money that way because I didn't quite understand right away how to deal with enemy aircraft and the automatic defense they provide) and still managed to destroy the Axis before the US even entered the war, so it does seem the Allies have it a bit easy, but then again that was on "beginner" where the AI doesn't get to cheat via various handicaps. (AIs generally need cheats -- i.e., if the Axis had been played by an even moderately competent human, I'm pretty sure those mistakes would have resulted in a very quick defeat for the Allies.)
For planning attacks/defense, you need to keep the game mechanics in mind -- supply, strength, command, morale are all equally important for land and air units. (For naval units it's only supply and strength, with strength counting double.) Click on HQs to see what is connected to them because it might not be what you think. I frequently pop into "purchase units" even when I'm not planning on buying anything because it acts as a handy reference for stats on the different units -- be mindful that attack power and defense power are different, and different units are better at attacking/defending against other units.
Defended cities are particularly hard to take. I use HQ-backed tanks to soften it up a bit first, then other available (full strength) land troops, and only after it's really softened up do I use aircraft. (Maybe strategic bombers can in theory soften the defenses -- in my tiny bit of experience though strategic bombers haven't been very effective.) In some cases it might be better to just ignore the city (go right past it) and decimate their forces if you've got them on the run, and then come back to the city.
Tanks are good against infantry, but... Are the infantry sitting on fortifications? If so, they may toast your tanks. Are the infantry highly entrenched? If so, same thing. To attack France it's probably better to declare war on the "low countries" (Belgium area) and then march through there -- you'll pick up income and plunder on your way to France and bypass the entire Maginot line. (At least, that's what the AI tried to do to me. A British tank in Brussels backed by a command-8 HQ, air support from the southern UK and 4 battleships pounding the coast took their toll on the Germans though, and they never got either Brussels or Paris before getting rolled over by the Russians.)
Also, when attacking their infantry, don't just hurt them, kill them. Have enough units around to get the job done. France has enough income to repair troops all campaign long if you don't kill them. (Repairing/reinforcing troops is a LOT cheaper than buying new troops.) France has an income of 115 per turn, with corps costing 125 (and army costing 250), so you have to kill at least one corps per turn or one army every other turn or you'll have a hard time even making any forward progress. (Either that or run around them and take all of their income resources so you can then take more time killing their troops.)
You don't make transport ships. What you have to do is move the unit right next to a port. Then on the next turn right-click on it and select "transport" and they'll be in the water in a transport ship that just appears out of thin-air. When you eventually unload them, the tranport ship disappears.
What I'm planning on doing is playing Allies on progressively harder levels of difficulty until I learn how to play better. Then I'll drop it back down to beginner and try as Axis. (The Axis did lose the real war after all, so it should be hard to win as them.) If you just want a more balanced game rather than semi-historical-accuracy, there are scenarios you can download that aim for exactly that -- scenarios where the chance of the Axis or Allies winning is 50/50. See this thread for links: http://www.gog.com/forum/strategic_command_european_theater/any_mods_and_custom_campaigns