Yes, but then, when 3,000,000 men of your so-called Allies cross your border preceded by a ferocious artillery barrage and the scream of swarms of dive-bombers... What alliance?
Stalin actually tried to do that, and refused to listen to his intelligence, British or Gaullist intelligence saying that Hitler would invade Russia because he believed in alliance with the nazis. As someone said the ring has only one master. Like Hitler, Stalin was one of those evil but powerful people with no redeeming features.
Well, could we for a moment forget about the political unlikelihood of a russo-german alliance and assume that it happened irregardless of ideological differences (thinking otherwise would be no fun)? North Africa and the balkans, being sandwiched between two major powers, would not have held out for long. Spain and Turkey would probably have had joined the Axis powers. England, isolated and with no friends anywhere nearby, would find itself in a most untenable position, having received the undivided attention of both the Germans and the Russians. I'm not too sure whether it would have been invaded in 1940, considering the state of the Russian navy and air force (would Stalin even agree to chipping in?), but assuming the U-boats stay effective long enough for the Axis to out-produce the Brits, they too would have fallen nonetheless. That leaves America, the ANZACs and Canada, seperated from that totalitarian alliance by the Pacific and the Atlantic. This means that the rest of the war would essentially be fought over the pacific and atlantic. Neither side would be capable of invading the other due to the immense logistical problems of supplying an entire army overseas - rather, the whole idea would be to find a base to launch an air war (and possibly a nuke) from. America would have developed the nuke first, but then Germany wasn't too far away from achieving that breakthrough either. The Axis would clearly have the advantage in resources and manpower, while the Allies would not be able to find sufficent oil to sustain their war effort in the face of the enormous industrial capabilities of their opponents. The Allies would have to win early (possible since they develop the nuke first) or risk losing the war in the long run.