Making your sectors better
The infrastructure of your sectors determines how well your sectors defend, and how well you can move commodities and vehicles (land units) through your sectors.
You can improve the "road", "rail" and "defense" efficiency of all of your sectors, given that you have the correct commodities, enough mobility and enough money.
The "road" infrastructure determines how well (i.e. the mobility cost) commodities and non-train vehicles travelling through your sector are able to move at both distribution time and while you are moving them by hand.
The "rail" infrastructure determines how well (i.e. the mobility cost) trains are able to move through your sectors.
The "defense" infrastructure determines how well (i.e. the defense factor) your sector defends itself. There is a maximum amount that the sector may obtain. Use the "show sect stats" to see what the maximum values are.
So, what you can do, by using up some commodities, mobility and cash, is to create a pseudo-highway network through non-highway sectors. You can still create highway sectors for just the designation fee of the sector, but it costs you a whole sector to use it. This is a trade-off for both being able to use the sector and still move things through it at a reasonable cost.
When you "improve" the infrastructure of your sectors, you are improving on the efficiency of part of that sector (either road, rail or defense.) By improving it, it's statistics get better. For roads and rails, that means that the mobility cost to move through goes down. For defense, that means that you are building up the "defenses" of the sector towards the maximum allowed (see "show sector stats" for the maximum values.)
Since infrastructure is on an efficiency basis, it takes damage just like regular efficiency. So, when a sector is shelled or bombed, the infrastructure there is damaged in an efficiency based manner.
Infrastructure is also not affected by rebuilding the sector. So, once you build infrastructure, it stays in place until the sector is damaged in some way.
Use the "sinfrastructure" command to see what the current infrastructure of your country looks like.
Use the "improve" command to improve the infrastructure of your sectors.
To find out the required amounts of materials, mobility, and money use the "show sect build" command.
Also, defensive infrastructure is not always improvable. See the version info to see if the DEFENSE_INFRA option is enabled or not. If it is not enabled, the defense infrastructure of the sector is always the same as the efficiency of the sector. If it is enabled, you must improve your sectors defensive values using the "improve" command.