From Wikipedia (Command & Conquer: Red Alert):

Allied ending: Following the siege of Moscow, an Allied platoon discovers Stalin buried alive in the rubble of the Kremlin. As they begin attempting to remove the debris from the fallen Soviet leader, General Stavros unexpectedly enters the room and stops them. He "convinces" them that they saw nothing and orders them to leave the premises. Stavros then stuffs a handkerchief into Stalin's mouth before covering his head with a large stone and walking away.

Soviet ending: As the Soviets celebrate their victory at the newly captured Buckingham Palace, Stalin commends the Commander (the player), but is poisoned by Nadia, who guns him down as the poison overcomes his body. Following Stalin's death, Nadia tells the Commander that the Soviet Union is now under the rule of the Brotherhood of Nod, who plan to return to the shadows again and reemerge in the 1990s, leaving the player as the puppet ruler of the USSR, ready to do the Brotherhood of Nod bidding for "the foreseeable future". She is betrayed and shot in the back by Kane, who reveals to "Comrade Chairman" that he is the true mastermind.

Either way Stalin is killed and we lose