The Aliens are a bit of a hidden feature of HoI. They are unleashed through a "cheat' that is activated by typing in "alienattack[province ID number]". An example would be "alienattack722". This would make them attack Roswell...Remember that they will get their sliders from the nation they attack. So, they will be democratic and isolationist attack Roswell. A better spot is Siberia (who knows, maybe there are aliens there).
So, you're ready for the challenge. Well, once you give them the attack code, you have to load up as them and DoW the world because they only DoW who they attack. You may also notice that they lack ministers. Several mods have ministers (SMEP has Star Wars characters for example). You have just completed your 36 GC as Germany and painted the world gray but you're not done. You have the aliens attack the Rockies in America. You probably won't get to them until they start expanding but it is important that you do. At first they'll just have some infantry '36. No worry for elite panzers right? Wrong. They won't stop spawning it. Soon tanks appear and better models. Suddenly your infantry 45 are duking it out with aircav. And a lot of it. Your fighters will pick off their ww1 biplanes at first but jets will appear and tear you apart. Then come the nukes. The AI aliens are given a lot of free units and free technology plus what they build themselves. You will find that they will soon be uncrushable.
In reality, ignoring a lot of what was posted above, the 'Aliens' aren't as difficult as first seem. Under standard rules the Aliens will:
Adopt the sliders of the country they 'invade'.
If those sliders allow them to, they will DOW that country. They will DOW no other country and no other country will usually DOW them. Therefore landing in Albania is pointless, they won't go anywhere.
They have no ministers.
They have spawning units, and all the latest tech is given to them over a period of a few months.
They have no leaders however, meaning they will always be fighting at -75% overcommand penalty.
The province they attack is boosted to 10 airbase and (if a port province) 10 naval base.
They WON'T conduct naval invasions, even if they are given a port province (so landing them in Britain means they'll take that country but no more).
Critically, they do not engage in any diplomacy, not even ANNEX, so they can 'take' a country but won't annex it. They therefore never own any provinces except the first.
In reality, without significant ai files, events, leaders and ministers to deal with the above they are actually very very tame and can be easily defeated.