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There is only one way to win the Battle of the Bulge: Conquest. If you can attain a Decisive Victory, you have thoroughly beaten the Allied Forces on the Western Front. This guide will get you set on your way to beating the Americans in the Ardennes Forest.
One thing to keep in mind while playing is that there are three major forces working against you: Time, Fuel, and of course, the American Army in the Ardenne. The more time you take to secure objectives, the more reinforced they get. This presents a Catch-22 situation: do you spend units trying to get objectives only to lose them later when the Americans counter-attack? The answer to this question is fairly simple: only waste units when you need to. For example, if you know that you can take an objective and have a few red-line units hanging around afterwards, that's ok. But don't leave an allied city with troops in it if during their turn they can attack and wipe out your red-line units.
One good trick is to get your units onto more defensible terrain such as Urban or Elevated before assaulting a heavily defended city. Heavier units such as Tiger I/II tanks and Jagdpanthers do well in this role. You can use these units to defend a stack of units attacking the city, and if some should go into the red, you can move them back from the action and bring in new units while assaulting a city. The best units for attacking a city are the Jagdtiger (the most powerful unit in the game), the Jagdpanther, the StuG III H, Hetzer, any Tiger (especially Tiger II), the 150mm Hummel, and the dreaded 88mm.
The best option is to let the Americans try to attack your strong positions on defensible terrain, especially if you are in control of the only defensible terrain around. This lets you counterattack any units that are successful against your units later on, since they will probably be on less defensible terrain.
Another good trick is to use the Ignore Zones of Control ability of your Kubelwagen to let your troops pass into locations they normally couldn't access. For example, this could let your tanks get onto an urban spot of terrain that they normally couldn't cross into because of Zone of Control rules.
Game-wise, the most important cities are those on the Meuse River. They are each worth an objective point and the most important among them is Namur. Namur is the home city of a great number of Bunkers (which are practically indestructable otherwise). Once you take this city, it should be a lot easier to secure the Meuse river. Other bunkers on the map will disappear when certain cities fall (but I won't say which ones).
Remember that a Marginal Victory does not require you to take every city on the map, and neither does the Decisive Victory. If you can focus on a few points and hold them, you may be able to pull through with at least a Marginal Victory.