O thats right, you can assign the AI to do things.... How?
And I don't even know when I shoudl move my troops. Are there supply limits like in EU3?
Why do some nations have more industrial capacity then their base amount?
How can I play as a small nation to get started?
1) The option is in each of the seperate menus. I don't remember exactly where, as I don't have HoI3 installed on this machine, so I'm going off of memory.
2) Yes. BIG supply limits. Especially for huge nations like Russia. Infrastructure is crucial to victory in any war, be it attack or defence.
3) Lots of nations have bonuses to their IC, and they typically get unfair bonuses as well unless you're playing on >normal difficulty. Its to give the AI a fighting chance, really. I think HoI3 assumes that players to this game are atleast slightly adept at this type of game. ALWAYS watch out for Britain and Germany, no matter who you are.
4) In short: You can't unless you're a deity at this game. One of my main goals was to bring a tiny nation to prosperous victory, and every time I picked a bumfuck country (Ecuador, Yugoslavia, even Ethiopia) I ultimately gave up or was decimated because it's a looooooong time to build a tiny country to power, especially in this game, where it's hard to prepare a big country for WW2 starting at '34.
I suggest you stick to the larger countries until you're more experienced, trust me, it's very demotivating to play as small countries right off the bat in this game, it doesn't give it the right feel, since this is primarily a WW2 game, I assume they want you to play a moderately industrial nation.