The Winter War was started when the Soviets threatened the Finns with war if they didn't give into their demands. The Finns refused, war broke out. Seeing as the Germans wern't on the best terms at the time, Germany eventually forged an alliance with Finland, which brought about the Continuation War.
In order for an "alliance" between the Soviets and the Finns, the Finns would be forced to give into Soviet demands. Knowing that they would not, the Soviets would have to take the country by force.
