it actualy says that in the game, but WTH:
In order to annex a nation you must take over it's capital, and key provinces (the ones that cost more than 0 points, with Ireland you can just click on each and see, but for bigger countries use the F6 stats), then go to the "deplomacy" tab, and press annex.
P.S. it's one of the best WWII games I've played, But I liked HOI 1 better, because It had barnched resaerch (I belive in the power of scince, shoot me
), and every research item had a good description- I catualy learned something for a change