well i guess it depends on whether youre going for top-down or bottom-up world creation. I imagine a WW2 style alternate world will need quite a bit of work coming up with the politics and events leading up to the war - things like alliances, treaties, borders, etc will all affect the map. or you can go the other way round and make a map, then create the history to go long with it. or more realistically, you can do a mix of both. coming up with background and history as you create the map.
With regards to software, something like inkscape or gimp would be a good idea, though if you've never used either, there might be a bit of a learning curve involved.
I'd look for some maps of the period and try look at some tutorials here and elsewhere and start fumbling your way through it. that's how I learnt, and probably how most of the people around here did too.
best of luck!