Xibei San Ma
What To Expect
You are playing a poor, underdeveloped nation. The only military unit you can build at the start that won't take forever is militia. You are pretty well liked by the USA, and have your independence guaranteed by them. Don't expect to get all high and mighty and think "ZOMG IMMA TAKE OVER SOUTH AMERICA AND TEH WORLD!!!11!1". No. Go play the Soviet Union should you want that.
Axis - Begin influencing Germany right away, and strike up a lot of trade agreements should you want to join the Axis, but that may not be a wise choice, as you have the big blue blob to your north who is sympathetic to the Allies. You also have many allied powers with colonies knocking at your door in the Caribbean.
Allies - Joining the allies isn't that hard. The United Kingdom is pretty friendly towards you anyway, and France doesn't like you or hate you. Begin trading with the UK and her puppets, and don't worry about France or what they think. They're going to get occupied in a few years anyway. If you want too, you can influence the UK, but it may be wiser to influence the USA, for reasons which will be explained later.
Comintern - A Communist/Stalinist Mexico IS possible, but may take awhile. The Soviet Union already dislikes you, along with her puppets. The only way to be able to join the Comintern is to adjust to their ideals, not yours. It simply isn't possible to Facist and in the Comintern. This may not be a good idea, because it can easily anger the USA. And nobody wants that.
Japanese Alliance - Joining Japan can be a very good move, and a very bad one. Japan isn't well liked throughout the world, and will continue to be less and less liked as the game progresses. The USA will be most likely be attacked by them in '40 or '41, and that will drag you into a war against the USA. One you simply cannot win. I do not recommend joining Japan. They are too far away and too selfish to help.
Argentinian Alliance - Argentina may seem like a good ally, but they aren't. Influencing them and getting better relations with them are a horrible decision, because even when the odds of joining in an alliance with them are high, they will not do it. I don't know why, they simply won't join.