A minor power in World War II.
In most games, the Dutch are unplayable, not having any units or capital, and only serve to take IPCs away from Australia until ANZAC units are brought to take control of those territories. If you are playing ANZAC, make it a goal to take the whole Dutch East Indies before the Japanese do. If you are playing as Japan, make sure to try to stop the ANZAC transports, because taking them yourself deprives Australia of valuable income.
However, in some games the Dutch are a playable nation. In this case, the Dutch have their colonial possessions very far apart, similar to the British Empire. Your major territories will likely be the Netherlands in Europe, Suriname in South America, and the Dutch East Indies in the Pacific.
Accept that you will likely lose all your units and any factories you have in the Netherlands. No matter how much you try to build up your military forces, you will inevitably be steamrolled by Germany as they make their way through the BENELUX countries to invade France. If you can, evacuate as many units as possible if you have a navy in the English Channel, and start bringing those units to the Dutch East Indies. (Don't bring them through the Mediterranean, they may be attacked by the Italian navy, just send them down around South Africa, safe under the guard of British ships)
If you have any units in Suriname, just keep them there until you can get some transport ships to bring them to the Dutch East Indies along with the units from the Netherlands. If you have a factory there, build ships, mainly transports and destroyers, to protect your convoy going to Indonesia.
Dutch East Indies
This is you most important territory, or group of territories. Try to defend it the best you can. Bring any ships from this region over to India, where they will be safe from Japanese attack. Try to build up as much defenses as possible. Make sure to work together with the UK and Australia to protect your islands. This is vital, because the islands are a major source of income, and if you prevent the Japanese from taking hold of these islands it denies them the extra IPCs. If you hold out for a few turns you can get reinforcements that you are bringing in from the other aforementioned territories which should make holding the islands a little easier. If you have a factory here, build a transport or two, some destroyers and maybe cruisers, and some infantry. Do not attempt to retake an island if it has been taken, leave that to the USA or ANZAC.