1.e4 Nf6
In Alekhine's Defense, black prevents white from capturing the center immediately with 2.d4 by first attacking white's pawn on e4. White has a choice. White can defend the e4-pawn with 2.Nc3, but it is far stronger to advance the e-pawn further to e5.
By so doing, white will attack the black knight on f6 and force it to move again. As you know, you usually want to develop all of your pieces before you move any one of them again. Black's strategy is unusual and not to every player's taste: to invite the white center forward where it might become weak and collapse.
White should almost certainly play 2.e5 and, after 2...Nd5, continue with 3.d4. White can then develop normally, bringing out the knights first before the bishops and likely castling on the kingside. If white is ambitious, it is possible to establish a broad pawn center with 4.c4, again attacking the black knight on d5, and then playing 5.f4 to support the pawn on e5. Not surprisingly, this is called the Four Pawns Attack in the Alekhine's.
Sources for further reading
G.Burgess, THE COMPLETE ALEKHINE, Henry Holt, 1992
L.Christiansen, ALEKINE'S DEFENSE AS WHITE: THE FOUR PAWNS ATTACK, Thinker's Press, 1989