This is a heavily disputed subject. I can't find any sources, I can find post war statements, but I can't find any sources.
The Russian historian Nikolai Baryshnikov disputes this claim, as he can't find any sources either.
Is there anyone who can help me?
If you don't get answers here, there are some folks over at /r/Finland who know a lot about the Winter War.
If you are looking for a document written in Russian where Stalin says "Comrades! We shall annex Finland," then you're out of luck - although you could of course try to ask the Kremlin archives nicely if they might search their secret archives for you.
The most probable case seems to be that the Soviet Union was desirous of annexing Finland if possible, or at least replacing the government with the puppet Terijoki goverment (which would very likely have led to full-blown annexation some years down the road). However, once this proved more difficult than the Soviet leadership had thought, they settled for territorial concessions and thought to come back later for more, if the circumstances allowed.
This is what I wrote some months ago as a response to a similar query (https://www.reddit.com/r/AskHistorians/comments/3zxa0l/would_the_soviet_union_have_invaded_all_of/), listing what to me are the most convincing pieces of circumstantial evidence that point to the conclusion above.
1 - The Molotov-Ribbentrop pact and its secret protocols. These divided the Eastern Europe to German and Soviet spheres of influence and gave the Soviet Union free hand with the Baltic states and Finland. Germans understood perfectly well that this would mean occupation and annexation of the said countries. Germany honoured the pact scrupulously until late 1940, and Soviet Union also did what the secret protocols implied it would do - took over the Baltic states and tried to take over Finland.
2 - The example of the Baltic states. Estonia, Latvia and Lithuania were presented with similar ultimatums as were presented to Finland. These countries acquiesced, let Soviet troops in, and in 1940, were forced to hold "elections" where they unsurprisingly decided to join the Soviet Union.
3 - Soviet leadership and press were known to consider Finland and Baltic states to belong to Russia, as they had been parts of the Russian empire until the end of the First World War. Stalin in particular had been saying that letting Finland go had been a mistake.
4 - The territorial demands put to Finland would have neutered the main defensive line against an invasion from the East, put a strong Soviet base within artillery range of capital Helsinki, and greatly complicated (if not made impossible altogether) any hope of foreign help. Furthermore, the Soviet press and leadership had been campaigning against Finnish government and the Finnish "German sympathies" and "Russophobia" (which were true enough: most Finns were very deeply suspicious of the Soviet Union, which was feared as the heir to Czarist imperialism AND as the seat of communism). To me at least, it seems likely that these would have been provided a nice pretext for additional demands, just as they did in the Baltic states.
5 - During 1940, after the Winter War, the Soviet pressure continued heavily, culminating in scuppering an attempt of a defensive treaty with the Swedes, attempts to influence presidential elections, a shootdown of a Finnish airliner, and in troop concentrations to the border that were very nearly met with a general mobilisation. These, combined with German occupation of Denmark and Norway (which isolated Finland even further from the Western allies) and fall of pro-Finland France, were very important factors in driving Finland to ally with Germany, which by late 1940 was already preparing for Barbarossa and welcomed a free ally. Reportedly, Soviet foreign minister Molotov asked the Germans for a free hand in Finland in 1940; this time it was refused. Many contemporary and later observers are certain that without German support, the Soviet Union would have occupied Finland in 1940 or early 1941.