Simple answer-- the OTL Cold War happened for several reasons:
- The USSR endured foreign invasion and civil war from 1917-1922, then had trouble getting recognized until the 1930's by major world powers.
- Attempts by the USSR to collaborate with Western powers- UK, France, US, et al. fell on deaf ears throughout the 1930's, esp. the Spanish Civil War 1936-1939, so from a Soviet perspective, the wartime alliance was strictly one of convenience until Nazi Germany was smashed.
- The USSR suffered a harrowing loss of military-age youth in WWII- s/t close to 1/3 of 18-40 y.o. males and 1/10 of 18-40 y/o females with 75% of European Russia a devastated ruin.
Stalin didn't want any external powers to know how exhausted the Soviet armies and people were. Thus the insistence on buffer zones in Poland, Czechoslovakia, Hungary, Bulgaria, and Romania.
From a pragmatic standpoint, seeing how much trouble the Finns were, the Soviets figured why have anyone but compliant puppets next door?.
The US was calling the shots and seemed quite unaccountable and umoved by the harrowing experiences of the UK and France who'd been on the front lines since 1939, much less the biblical-plagues sufferings of the Soviets.
When the US offered Marshall Plan aid to the Soviets, it came with a lot of political strings.
So, for the tl:dr crowd:
Have the 1905 Revolution be an unequivocal victory for the Kadets and put Russia on the path of constitutional monarchy, neutering the Tsar as a political figure and purging the rot of the royal court.
Have Stolypin and other reform-minded sorts bring Russia socially into the 19th century and allow Russia to urbanize naturally instead of the haphazard breakneck nightmare-at-gunpoint Stalin's bunch did.
The economy could naturally evolve through the industrial age doing light industry and heavy industry as well as other concerns so it fits the country's real capacities, needs, and wants rather than this insane dash to utopia.
A Kadet Russia wouldn't be international pariah, it would be a vital trade partner and participant in the world order. The Tsar's Black Hundreds and other private armies would be brought to heel. The Okhrana would also have a much narrower brief.
Democracy and prosperity aren't cure alls. Many Russians would still feel like being Big Brother to various Slavic nations and peoples and playing power games with the Ottomans and Austro-Hungarians.
My thought is that IF the Black Hand manages to assassinate Franz Ferdinand and IF as OTL practically shout they're Serbian agents provocateurs-- France says, "Don't throw matches and yell, "Fire!" Y'all are on your own on this one."- a democratic Russia would be backpedaling fast from trying to fight Germany and A-H on their own.
No WWI, no WWII. No Cold War.
YMMDV.